Mquantdev

A Leading Multibillion Dollar Investment Management Firm in Manhattan is looking for a Full-Time, Permanent Employee for a Quantitative Developer for their growing Portfolio Analytics Group:

Position

The Firm's Portfolio Analytics Group is seeking a Quantitative Developer with distinctive quantitative development and problem-solving skills. The successful candidate will have the ability to think about risk in a structured, logical, and qualitative way as the foundation for any quantitative analysis and can effectively communicate their point of view. The new hire should have the intellectual curiosity, capability, and process skills to function as an analyst rather than a sole interest in development work. This is a full-time, permanent employment opportunity, and the Quantitative Developer will be expected to work on-site at our Midtown, New York offices 3 days per week.

Primary responsibilities

• Develop and do analysis for modularized python applications which calculate alpha attribution for different strategies and investment activities with internal factor models.
• Develop application and analysis which attribute aplhas to individual portfolio managers.
• Implement upgrades to existing performance attribution and risk contribution applications to capture intra-month investment activities.
• Develop and analysis for cross-function shared APIs to calculate risk capital and alpha hurdles for Fund managers and trading books.
• Design and develop applications to calculate and store different types of metrics regarding fund liquidity (Asset liquidity/Weighted Average time to liquidation, liquidity hurdle).
• Develop cross-function shared APis to calculate liquidity risk metrics.
• Develop and design application to calculate portfolio and manager level volatility, tracking error, marginal tracking error(ex-ante/ex-post), VaR, drawdown based on different risk scenarios.
• Develop and do analysis for applications for various risk metric calculations and performance attribution specialized for Private Equity portfolio.
• Ensure consistency and accuracy of risk and performance data published by the Risk team.
• Contribute to the refinement of risk management frameworks.

Provide recommendations to improve calculations, methodologies, systems, and automate processes.

Desired background

Technical skills

Strong developer with Python, Pandas, and NumPy experience

Knowledge of database design and SQL; experience with Excel/VBA and Tableau are a plus.

Business experience

2-4 years of professional experience

Exposure to risk management in a macro or market risk context is desirable.

Education

Undergraduate degree in electrical engineering, computer sciences, math, physics, economics, finance, or operations research with a cumulative GPA of at least 3.6

Graduate degree in finance or relevant quantitative discipline is desirable (cumulative GPA of at least 3.6); equivalent practical/professional experience is also suitable.

FRM or CFA level 1 (or higher) desirable if no relevant practical risk or asset management experience

Personality

• High motivation & drive takes initiative, goal-oriented, ownership mindset; end-product oriented; highly productive

Detail orientation: naturally curious, strives to deeply understand context and business; ability to dig into details and achieve number accuracy.

Problem solving structured thinker with the ability to disaggregate complex problems into a logical set of issues; solves problems conceptually and analytically

Communication skills: precise oral and written communication

• Collaborative style: listens well, puts team first; strong client service orientation.