The Fixed Income & Macro Risk Strategist will report to the Co-Head of Fixed Income & Macro Risk (US) and will work collaboratively with a team of expert risk professionals, quants, and portfolio managers to both risk-manage and grow the business.
The Fixed Income & Macro Risk Strategist will be responsible for the following:
· Working closely with select fixed income & macro portfolio managers and their teams to understand and analyze their portfolio and risk
· Developing, maintaining, and leveraging models for option pricing in order to better quantify unique portfolio risks.
· Calibrating and managing a set of risk guidelines for multiple portfolio teams.
· Working with portfolio managers on discrepancies in measured risk or addressing risk that falls outside of policy guidelines.
· Performing detailed trade-level risk analysis for both new and existing positions. Strategies and asset classes include rates, foreign exchange, and equities with a focus on options modeling.
· Performing top-down risk assessments including analyzing traditional risk exposures, stress scenarios, and value-at-risk (VaR).
· Maintaining a detailed view of the current risk environment, risk events and how they could impact positions.
· Calibrating and modeling risk event scenario outcomes.
· Performing detailed assessment of P&L explained.
· Creating risk measures, analyses and reports used by team members and members of portfolio teams.
· Innovative research relating to the firm’s risk policy, risk allocation and portfolio guidelines.
To be considered a good fit, you must have:
· Extensive experience in trading, sales, quant, structuring or market risk role at either a sell-side or buy-side firm. Hedge fund experience is a bonus.
· Expertise in interest rates derivatives and options, addition of foreign exchange or equity options a plus.
· Strong programming ability in Python or computer science background with ability to learn Python.
· Strong academic background with a degree in a STEM discipline. Advanced degree preferred.
· Ability to collaborate and work across global offices and teams.
With respect to NY, CA, and IL based applicants, the starting base pay range for this role is between $150000 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.
