The Treasury Quant team at Balyasny Asset Management is expanding, and we are looking for a Senior Quantitative Researcher. The Treasury Quant team is responsible for firm-wide portfolio construction, globally, across all asset classes, aimed at minimizing margin, and contributing to maximizing the Firm’s liquidity buffer.
The Quantitative Researcher will:
- Develop and implement internally consistent risk-based models for margin allocation and optimization, across all asset classes
- Constantly review and upgrade margin allocation models.
- Design and implement margin optimization processes for different asset classes
- Enhance the analytics suite used by the treasury team to measure and manage capital utilization and allocation
- Analyze and approximate various house and reg margin methodologies, including cross-margin
- Collaborate with the risk team to leverage their offering for margin methodologies
- Create risk-based explain tools for margin allocation and drivers
- Work with Portfolio Managers and Business Leaders to refine margin attribution models
- Help expand product coverage and methodologies used for various margin calculators and treasury specific analytics tools for efficient capital deployment
- Expand the quantitative framework for managing the firm’s liquidity, cash and collateral deployment
- Design, prototype, test, and implement risk-based margin models
Qualifications and Requirements:
- STEM PhD or MS degree
- Hands on experience solving optimization problems and in depth experience with at least 1 optimization engine – Mosek preferred. Real life optimization implementation expertise.
- Extensive experience working as a Quant Researcher in a front office, treasury and/or risk team
- In depth modeling experience
- Excellent hands-on programming skills in Python (including numpy, scipy, Pandas)
- Expected to deliver asset specific allocation and optimization libraries in Python
- In depth knowledge and experience in Equities, Credit and/or Commodities
- Direct involvement in building a margin methodology is preferred
- Ability to work on several projects simultaneously
- Innovative, flexible, open approach to solving real-life problems
- Experience with being responsible for projects spanning several teams (PMs, risk, IT, etc)
With respect to NY and CA based applicants, the starting base pay range for this role is between $200000 and $250000 annually. The actual base pay is dependent upon several factors, including, but not limited to, relevant experience, business needs and market demands. This role may also be eligible for bonus compensation and employee benefits.
