A global investment management firm in New York is seeking an experienced Fixed Income Quantitative Portfolio Risk Manager to join its risk management team.
Responsibilities:
- Assessing and analyzing risk, attribution, and performance across the firm’s fixed income portfolios including cash and derivative investments in US, European and Emerging Market products.
- Use Multi-Factor Models to identify and measure investment risk across global fixed income investment strategies
- Identify, Analyze and Present portfolio risk and attribution analytics to the investment team and to external clients
- Must be able to understand and explain the drivers of P&L changed and risk exposure
- Provide insights into the risk exposures, risk concentration and tail risk using Bloomberg risk applications
- Perform in-depth analysis to better understand portfolio performance
- Work directly with Portfolio Managers to provide risk analysis that will improve portfolio construction
- Work with IT to develop real-time risk dashboards that can be used by PM’s and senior management
- Monitor, analyze and communicate daily changes in the risk profile of the firm’s fixed income cash and derivatives portfolios
- Provide accurate and timely risk information to both internal managers and external clients
Requirements:
- Candidates will have an advanced quantitative degree
- 10+ years working in fixed income risk management with experience in hedge fund and long only fixed income risk analysis
- Must have deep understanding of interest rate derivatives
- Experience extracting and manipulating data from Bloomberg and other vendor products
- Programming skills, [Matlab, Python, R]
- Superior communication skills required to work directly with PM’s
- Ability to work in a time-sensitive trading room environment
Keywords: Quantitative Risk Manager, Fixed Income, Multi-Factor Models, Risk Attribution Risk Monitoring, Tail Risk, Quantitative Research, Risk Exposure, Risk Concentration
Please send resumes to Jim Geiger jeg@analyticrecruiting.com
