Quantitative Investment Risk (PhD) Modeler
- Work on Risk and Analytics Models for Equities, Rates, Multi-Asset Funds and Alternatives
- Stress Test Investment and Pricing Models for performance
- Conduct Quantitative Research to implement model enhancements
- Apply econometric analysis to investment models, to better predict probabilities and forecast outcomes
- PhD in a quantitative field- Math, Physics, Economics is a requirement
- 5-7 years of experience building and reviewing investment risk, investment analytics and portfolio optimization models
- Must have current Programming skills- one or more of the following (SAS, R, Matlab)
- Must have Database Experience - Sybase
- Must have experience working with mean reversion models
- Nice to have- econometrics background- probability and outcomes
- Will be reviewing both proprietary risk models and vendor risk models from (Blackrock, Yield Book, MSCI-Barra, Barclay's Point and RiskMetrics).
- Must have superior communication skills and the ability to manage people and projects
Keywords: Quantitative Risk Models, Ph.D., Portfolio Construction, Pricing Models, Investment Manager, Mean Reversion Models, Econometric models, Equities, Fixed Income, Multi-Asset
Please refer to Job #22475 - and send MS Word attached resume toA Global Investment Manager in New York is looking for a Senior Quantitative Risk Modeler (PhD) to develop and enhance analytics, risk, pricing and portfolio construction models for the firm's investment teams.