Head of Market Risk

New York, New York, United States

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We are seeking a seasoned & experienced market risk professional to join the company’s Market Risk Management group.  This role will support Two Sigma's investment management activities covering a variety of new and existing products including equities, fixed income, options, futures, OTC derivatives, and commodities across markets globally.

Working with engineers, traders, portfolio managers, and financial modelers, you will be directing the market risk group to perform functions relevant to a quantitative, actively-managed multi-strategy hedge fund. Examples include

  1. Perform portfolio risk analysis on an intraday and end of day basis, using a variety of factor-based risk models for exposure generation, stress-testing, and P&L attribution.
  2. Building processes to identify risks that are “not in-model” and develop tests to study their effect.
  3. Thinking and studying new asset classes and their risks.
  4. Execution risk analysis and limit setting.
  5. Collaborating with engineering teams to make risk system and reporting enhancements, as well as documenting existing Market Risk reports.

Qualifications & Experience:

  • 10 - 15 years of institutional market risk management, execution risk management, and/or trading experience from a complex investment/asset manager, or investment bank.
  • Multi-asset financial product and market knowledge, trading experience is valuable.
  • Strong academic record with a degree or concentration in a scientific and/or mathematical discipline. Experience or qualifications relating to quantitative finance are highly preferred.
  • Good technical ability, including proficiency in programming.
  • Knowledge of financial mathematics and an excellent understanding of probability and statistics is required.
  • Effective communication and interpersonal skills and a readiness to challenge assumptions are a prerequisite.
  • We are open-minded in our search for critical thinkers who are passionate about the markets and portfolio risk management.