PRIMARY PURPOSE OF THE POSITION
The primary purpose of this role is to work with the Portfolio Risk Manager overseeing the firm’s multi-asset class risk program to support the build-out of the platform and add depth to better support portfolio managers on the Asset Allocation team. Activities undertaken by the Investment Risk Analyst in this position will facilitate risk identification, measurement, and monitoring focusing on portfolios investing in equity, fixed income, and alternative instruments in both the cash and derivatives markets.
Development of Risk Modeling Methodologies: Prototype and develop risk models and methodologies (and related reporting) to identify and measure sources of risk within investment portfolios and across portfolios. Development activities will include tasks related to the development of methodologies to be used and specification of data storage and reporting requirements. Development will be coordinated with the Portfolio Risk Manager overseeing the multi-asset class risk program and will include collaboration with associates in fixed income, asset allocation, and technology. Programming will be required to prototype calculation engines and provide proof of concept.
Day-to-day Risk Management Activities: Support the Portfolio Risk Manager overseeing the multi-asset class risk program with the day-to-day measurement, monitoring, and communication of risk in multi-asset portfolios. This includes the following activities: monitoring portfolios for changes in their risk profiles; performing portfolio stress tests based on both hypothetical and historic scenarios; analyzing the interaction between sub-portfolios that act as building blocks and the overall multi-asset class portfolio; and assisting the Portfolio Risk Manager in his/her communication of risks to portfolio managers, senior management, clients, prospective clients, consultants, and regulators.
Ad-hoc Quantitative Analysis: Perform ad-hoc quantitative analysis contributing to investment risk efforts, increasing and enhancing the firm’s risk management capabilities. Contribute to the development of new products by consulting with the Asset Allocation research team on the risk profile of proposed multi-asset portfolios.
Communication of Risks: Communicate about market risk to audiences outside of the risk team as deemed appropriate by the Portfolio Risk Manager responsible for the multi-asset class risk effort.
- Graduate degree in a quantitative field such as quantitative finance, statistics, applied mathematics, or engineering
- Professional accreditations such as CFA, FRM, PRM, CAIA preferred
- Strong knowledge of programming in MATLAB, Python, and Microsoft SQL
- Strong knowledge of derivatives pricing and risk modeling
- Familiarity with multi-factor risk modeling in a multi-asset class setting (equity, fixed income, hedge funds, alts, derivatives)
- Strong analytical and communication skills
- Ability to work effectively in a fast-paced environment
- Ability to work independently or as a member of a team
- Strong organizational skills
- Strong interpersonal skills that demonstrate the ability to handle complex interactions and reconcile differing views
- College degree and 5 years of relevant work experience related to fixed income and/or multi-asset class risk management or quant work
- Strong knowledge of programming in MATLAB and Microsoft SQL