Quantitative Risk & Portfolio Construction

DESCRIPTION:

Duties: Develop, manage, and refine the firm's risk measurement and portfolio construction frameworks, incorporate advanced processes and technology.

Oversee daily risk management for all investment teams including special situation equity, merger arbitrage, convertible arbitrage, volatility arbitrage strategies, and escalating issues to the CIOs as necessary.

Identify and assess portfolio risks.

Categorizing portfolio risks by factors such as economic risk, inflation, interest rate risk, credit risk, currency risk, geopolitical/regional risk, market liquidity risk, environmental, social, and governance risk.

Automate reports for each investment strategy to facilitate regular meetings with CIOs.

Work with CIOs and investment teams to enhance the investment process by analyzing trading history to identify patterns and new investment signals.

Collaborate with CIOs to evaluate the performance of trading team decisions through detailed analysis using advanced statistical techniques.

Partner with CIOs to enhance portfolio construction by optimizing risk, reward, and liquidity.

Perform quantitative analysis using advanced mathematical techniques including regression analysis, Monte Carlo simulation, factor analysis, principal component analysis, optimization, and machine learning to develop and refine stress models for the firm's various investment strategies.

Leverage the financial market and security valuation with advancements in AI (LLM and Generative AI), to enhance the design of technological solutions for the investment team.

Coordinate with Investor Relations to provide analysis and transparency for external stakeholders using systems such as MSCI, RiskMetrics, and OPERA (Open Protocol Enabling Risk Aggregation).

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Quantitative Finance, Mathematics, Finance, Statistics, or related field of study plus 2 years of experience in the job offered or as Quantitative Risk & Portfolio Construction, Alternative Investment Risk Manager, Equity Derivatives Market Risk Analyst, or related occupation.

Skills Required: This position requires experience with the following skills: Delivering written and verbal presentations, collecting data from internal and external databases, and utilizing Bloomberg's data architecture with SQL queries for data selection, filtering, joining, and aggregation; using Pandas and NumPy Python libraries for preprocessing trading and risk data, along with portfolio optimization, Monte Carlo simulations, regression analysis, principal component analysis, RIDGE and LASSO techniques using statsmodels and scikit-learn; Jupyter Notebooks for enhancing data visualization with matplotlib and documenting the analysis process for team replication; reducing investment strategy and portfolio volatility by building machine learning models using supervised learning and recursive feature elimination to identify features predicting asset pairings for co...