Quantitative Model Development – Investment Models

  • Competitive
  • New York, NY, États-Unis
  • CDI, Plein-temps
  • Analytic Recruiting Inc.
  • 13 nov. 17 2017-11-13

A Global Investment Manager in New York is looking for a Senior Quantitative Risk Modeler (PhD) to develop and enhance analytics, risk, pricing and portfolio construction models for the firm’s investment teams.

Responsibilities:

  • Work on Risk and Analytics Models for Equities, Rates, Multi-Asset Funds and Alternatives
  • Stress Test Investment and Pricing Models for performance
  • Conduct Quantitative Research to implement model enhancements
  • Apply econometric analysis to investment models, to better predict probabilities and forecast outcomes

 

Requirements:

  • PhD in a quantitative field- Math, Physics, Economics is a requirement
  • 5-7 years of experience building and reviewing investment risk, investment analytics and portfolio optimization models
  • Must have current Programming skills– one or more of the following (SAS, R, Matlab)
  • Must have Database Experience – Sybase
  • Must have experience working with mean reversion models
  • Nice to have- econometrics background- probability and outcomes
  • Will be reviewing both proprietary risk models and vendor risk models from (Blackrock, Yield Book, MSCI-Barra, Barclay’s Point and RiskMetrics).
  • Must have superior communication skills and the ability to manage people and projects

 

Keywords: Quantitative Risk Models, Ph.D., Portfolio Construction, Pricing Models, Investment Manager, Mean Reversion Models, Factor Models, Econometric models, Equities, Fixed Income, Multi-Asset

 

Please refer to Job #22475 - and send MS Word attached resume to jeg@analyticrecruiting.com