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
· 10 or more years of experience in Quantitative Research at Hedge Funds, Banks, and/or Asset Managers within a Front Office, Treasury and/or Risk team
· STEM PhD or MS degree
· Hands on experience solving optimization problems and in depth experience with at least 1 optimization engine – Mosek preferred. Real world optimization implementation expertise required
· 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, Fixed Income, Credit and/or Commodities
· Direct involvement in building a margin methodology
· 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)
