Quantitative Risk Analyst #QRA23001
Quantitative Risk Analyst (Aristeia Capital, LLC; Greenwich, CT).
Job duties: Monitor and manage daily portfolio market risk exposure and communicate the risk positioning with various investment functions within the firm. Monitor and develop different types of position-level hedges to manage risks in various strategies. Conduct portfolio optimization on a daily basis to help drive optimal trade allocation among different funds. Establish back-testing for different investment and hedging related signals to leverage quantitative insight.
Minimum Requirements: (i) Master's degree or foreign degree equivalent in Financial Mathematics, Financial Engineering or a related quantitative field. (ii) Two years of experience as a Quantitative Risk Analyst or a related occupation.
Experience must include two (2) years of experience in all the following categories: (a) Researching and developing novel analytical tools to address issues such as portfolio construction or optimization, performance measurement, attribution, profit and loss measurement or pricing models; (b) Performing risk-oriented calculations, including Monte Carlo simulation analysis and factor return calculation; (c) Designing scenario analyses to measure portfolio risk; (d) Using option-adjusted spreads and duration and convexity to measure risks and inform pricing of corporate credit portfolios, bonds and individual securities; and (e) Communicating sophisticated risk measurement and analysis concepts to portfolio managers. (iii) High-level coding proficiency in at least one of the following: MATLAB, SQL or Python.