Sunday, September 23, 2012

Fixed Income - Quantitative Analyst

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Our firm's Fixed Income philosophy is unique. We are value investors. We select securities based on deep fundamental research and seek to purchase them at discounted valuations. Our process is designed to create a margin of safety, which helps mitigate risk and protect against permanent loss of capital. We are not index driven. The availability of attractively priced opportunities drives our purchases, not benchmarks or ratings. At our firm, short-term market volatility is considered a source of opportunity. Our approach is to be patient and only invest when there is an appealing tradeoff between risk and return.

Our firm Fixed Income has approximately $40 billion of assets under management distributed across the fixed income universe: Treasury bonds, TIPS, corporate bonds, structured products (MBS and ABS), and municipal bonds. This is an opportunity to complement and support the efforts of leading investment professionals in the construction of optimal portfolios, portfolio risk management, and performance monitoring.

Job Profile:
We are looking for a self-motivated analyst to join the Fixed Income Quantitative Research Team within Investment Management (IM) as a Quantitative Analyst. This role has two broad dimensions: (1) provide modeling support in the investment decision processes such as our security valuation framework and its components, and (2) the analysis of fixed income portfolios in terms of consistency with model accounts, factor exposures, and overall portfolio targets. Additionally, the role is expected to interact with marketing and relationship management providing material for clients and consultants

PRIMARY RESPONSIBILITIES:
• Assist in the development of solutions for portfolio construction and optimization of constrained accounts.
• Build, maintain, and enhance models driving investment strategies and portfolio allocation decisions in our fixed income accounts and funds.
• Gather, maintain, and analyze economic and financial data in support of broad teams' investment and research efforts.
• Build relationships with other research teams (structured products, corporate credit, municipal bonds, and Treasuries) involved in the investment process.
• Maintain current econometric and mathematical valuation models and identify opportunities for enhancement
• Act as a liaison between systems and portfolio management regarding database improvements and issues.
• Enhance current VBA and Excel applications for database improvement

Job Qualifications:
• Graduate degree (strong Bachelors also considered) in a highly quantitative discipline such as physics, mathematics, or financial economics with a heavy computational emphasis. Strong ability to implement mathematical models empirically is a big plus; At least 1+ years of relevant experience
• Excellent quantitative and computational skills, as evidenced by formal training in econometrics, statistics, or mathematical modeling.
• Excellent written and oral communication skills.
• Well versed in matrix-oriented programming languages such as MATLAB, R, Python, or GAUSS. Working knowledge of Ruby, VBA, SQL, and database programming will constitute an advantage.
• Interested in building models and applications utilized in fixed income portfolio management; e.g., relative value, portfolio optimization, position size determination, multi-factor risk models, term structure models, scenario analysis, and performance attribution systems.
• Ability to work and multi-task efficiently in a fast-paced and team-oriented environment.
• Overall, an intellectually curious individual, willing to learn as much as possible while working with a sophisticated investment team

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