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 (i.e. mathematics/statistics-based) research and analysis/statistical analysis/data analysis skills, including estimation methods, time series analysis, and machine learning methods to research, formulate, design, and develop sophisticated predictive quantitative financial investment models used by company to trade fixed income credit instruments and their derivatives in a variety of global markets. Research, design, and develop production-quality, high-reliability, highly tuned numerical quantitative code using complex linear algebra, statistical modeling, and numerical optimization techniques. Analyze requirements to determine feasibility of quantitative financial trading strategy design. Apply scientific analysis and mathematical/statistical modeling to predict and measure outcome and consequences of the company’s investment strategy design. Use research to originate new quantitative models with knowledge of financial market empirical anomalies through latest research findings in quantitative finance literature. Utilize mathematical/statistical analysis and predictive quantitative modeling skills to research, analyze, develop, and execute data-driven solutions to financial investment problems. Generate hypothesis and design customized quantitative/mathematical/statistical research metrics to analyze market impact and construct mathematical/statistical models for prediction and evaluation. Conduct quantitative research to support all aspects of the company’s risk optimization process, including providing quantitative/mathematical/statistical research on forecast models, risk estimation, and portfolio optimization.
Minimum education required: PhD Degree in Statistics, Applied Mathematics, Mathematics or related quantitative field.
Alternative minimum requirements: Master’s Degree in Statistics, Applied Mathematics, Mathematics, or related quantitative field plus 3 years of experience as a Quantitative Analyst.
Skills required: Must have knowledge of the following quantitative skills and technologies: Empirical asset pricing and factor models; Statistical analysis of time series data, panel data, and cross-sectional data; Ability to analyze large-scale datasets and perform data mining on financial data; Linear algebra and linear/convex optimization; Machine learning; Quantitative research in credit markets, including corporate bonds and credit-default-swaps; Credit default probability modeling using statistical predictive models including generalized linear models, nonparametric regression models and tree-based models; Risk modeling including value-at-risk and credit value-at-risk using factor models, clustering and dimension reduction methodologies; and Programming with Python and SQL. Must also pass company’s required skills assessment.
Base salary: 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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