Job Location: 100 Avenue of the Americas, New York, NY 10013
Note: Company “Hybrid” work attendance policy: In-office work attendance required at the aforementioned office address for collaboration days based on each team’s requirement; telecommuting / working from home is permissible for remainder of the same month.
Duties: Apply quantitative financial analysis/statistical analysis/data analysis skills, including estimation methods and time series analysis to research, formulate, design, and develop sophisticated predictive quantitative financial investment models and financial trading strategies to trade fixed income single-name credit instruments and derivatives. Research, design, and develop production-quality, high-reliability, highly tuned numerical quantitative code using complex financial linear algebra, statistical modeling, and numerical optimization techniques. Analyze requirements to determine feasibility of quantitative financial trading strategy design. Apply scientific analysis and mathematical modeling to predict and measure outcome and consequences of financial strategy design. Originate new trading ideas and quantitative models with knowledge of financial market empirical anomalies through latest research findings in quantitative finance literature.
Minimum education and experience required: Master’s degree or equivalent in Statistics, Applied Mathematics, Engineering, Quantitative Finance, or related field plus 3 years of experience in a quantitative research role within the investment management industry, or related experience; OR PhD degree or equivalent in Statistics, Applied Mathematics, Engineering, Quantitative Finance, or related field.
Skills required: Must have experience with empirical asset pricing and factor models. Must have experience with modern portfolio theories (including portfolio optimization and portfolio construction) and portfolio risk modeling. Must have experience with statistical analysis of time series data, panel data, and cross-sectional data. Must have experience with analyzing large-scale financial datasets. Must have experience with linear algebra and convex optimization. Must have experience in quantitative research on predicting financial asset returns. Must have experience with building systematic research platform such as portfolio optimizer and backtesting engine. Must have experience with conducting portfolio backtesting and return attribution of systematic investment strategies. Must have experience in programming with Python and SQL, with demonstrated knowledge of data structures and algorithms, including object-oriented programming. Must have experience working with Unix/Linux operating systems and shell scripting. Must pass company’s required skills assessment. Employer will accept any amount of experience with the required skills.
Rate of pay: The base pay for this role will be between $165,000 and $325,000 per year. This role may also be eligible for other forms of compensation and benefits, such as a discretionary bonus, health, dental and other wellness plans and 401(k) contributions. Discretionary bonus can be a significant portion of total compensation. Actual compensation for successful candidates will be carefully determined based on a number of factors, including their skills, qualifications and experience.
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