Equity Quant -Portfolio Construction, Factor Analysis Research and Risk Equity Quant -Portfolio Construction, Factor  …

Analytic Recruiting Inc.
à New York, NY, États-Unis
CDI, Plein-temps
Dernière candidature, 08 déc. 21
Competitive
Analytic Recruiting Inc.
à New York, NY, États-Unis
CDI, Plein-temps
Dernière candidature, 08 déc. 21
Competitive
Diffusée par:
Jim Geiger • Executive Recruiter
Diffusée par:
Jim Geiger
Executive Recruiter
A NY based Global Asset Manager is looking for a senior quantitative equity portfolio construction/risk manager who must have experience with both long only and long-short global equity portfolios. The firm is growing its equity assets and is adding to the equity portfolio risk team. The firm is looking for a candidate who has experience developing factor overlays and quantitative portfolio construction strategies for both long only and long-short equity portfolios. This is not a traditional risk manager role. Risk at this firm is an essential aspect of quantitative research and portfolio management.

Responsibilities:

  • Identify, Assess, Measure and analyze risk, attribution, and performance across the firm’s Global Equity Portfolio’s including cash and derivative investments in US, European, and Emerging Market products.
  • Must have deep experience with advanced equity risk measures: Stress Testing, Scenario Analysis, Tracking Error Volatility and VaR decomposition.
  • Must have experience building Multi-Factor Models and Factor Overlays outside of the industry vendor products to identify and measure investment risk across global equity investment strategies (Axioma, Factset, Bloomberg PORT and Algorithmics).
  • Must be able to bring machine learning and natural language processing skills to analyze non-numerical unstructured data to construct scenarios to better manage the portfolio risk.
  • 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 changes 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 based on exposures to risk factors
  • Work directly with Portfolio Managers to provide risk analysis that will improve portfolio construction
  • Use big data analytics (Python and R) to better understand sources of risk and returns
  • 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 long only and long-short portfolios
  • Provide accurate and timely risk information to both internal managers and external clients

 

Requirements:

  • 10+ years of quantitative buy side equity risk management and quantitative portfolio construction experience
  • Must have built factor models- factor overlays
  • Must have an advanced quantitative degree (Computer Science, Math, Physics)
  • Must have both long and long-short experience (hedge fund and or asset manager)
  • Must have current and strong quantitative experience
  • Must have multi-strategy and derivative risk experience
  • Experience extracting and manipulating unstructured data and finding sources for that data
  • Machine Learning and NLP skills are strongly preferred
  • Must have Programming skills, [VBA Python, R]
  • Superior communication skills required to work directly with PM’s
  • Ability to work in a time-sensitive trading room environment

Keywords: Quantitative Equity, VaR, Factor Modeling, Portfolio Construction Stress Testing, Scenario Analysis, Tracking Error, Machine Learning, Data Scientist, Long only, Long-short, Equity Portfolio Risk

Please send resume to Jim Geiger jeg@analyticrecruiting.com

 

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