Buyside Market Risk Analytics - Rates

  • Competitive Base & Bonus USD
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • Ashton Lane Group
  • 17 Sep 18 2018-09-17

Actively contribute to the portfolio risk management process of a prestigious fund.

Responsibilities:

  • Design and develop market risk analytics using both SQL and C++/C# along with Python to enable robust analysis of existing and potential risk factors for Fixed Income and FX trading portfolios
  • Provide ad hoc risk analytics to enhance and improve upon existing market risk reporting tools
  • Effectively track and assist with the Fixed Income portfolio construction
  • Analyze and understand P&L, gaining insights into risk drivers through in-depth knowledge of markets, instruments, positions, and trading strategies
  • Monitor risk exposures against guidelines and proactively engage with the business to avoid and resolve any possible exceedances

Requirements:

  • 2-5 years’ experience creating market risk analytics either within a technology, quantitative development, or market risk function
  • Must have excellent and current programming skills in both SQL and Object-Oriented Programming (C++ / C#), Python a plus
  • Strong technical knowledge of derivatives pricing, risk attribution, and trading strategies, specifically covering rates (Swaptions, Caps/Floors, FX, etc.)
  • Knowledge of risk methodologies, spreadsheet creation, stress testing and the ability to work independently are critical
  • Ability to work under pressure of time and market, meet deadlines and collaborate with other departments is essential.
  • Graduate Level Degree in Physics, Mathematics, Financial Engineering, Computer Engineering with excellent performance (3.7+ GPA in all degree programs)

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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