The Position
This individual will develop quantitative methods, models, and tools to enhance the investment process used by the employer in managing its mutual funds and client accounts.
Responsibilities
Develop and refine core quantitative investment tools
Develop approaches for measuring, analyzing, managing, and reporting fund risks
Create new techniques for analyzing performance relative to competitors
Provide practical guidance on enterprise development of quantitative tools
Support and enhance the money market investment process
Communicate vision, concepts, and methods effectively
Contribute to strategic investment and business discussions
Serve as a liaison between investment professionals and technology teams
Facilitate compliance with regulatory requirements
Create portfolio metrics to aid in managing against 2a-7 constraints
Develop effective stress tests and summary reports for 2a-7 funds
Determine eligible floating-rate indices and associated maturity guidelines
Respond to short-horizon requests for quantitative investment and market analysis
Formulate and solve relevant portfolio optimization problems
Construct and analyze model portfolios to meet new product needs
Create valuation models for instruments relevant to the money market
Qualifications
Expertise in technical problem solving and a strong background in practical mathematical modeling is required, supported by deep theoretical foundations in linear algebra, numerical methods, optimization theory, stochastic processes, and statistical analysis;
Work experience in the fixed income area, including a good working knowledge of securities, markets, valuation methods, and portfolio concepts, is helpful;
Experience in the money market area, including familiarity with Rule 2a-7, money market mutual funds, and current regulatory dynamics, is helpful
Strong interpersonal skills and an ability to work in a team environment are required;
Highly developed oral presentation and technical writing skills are strongly preferred;
Programming experience and a facility with relational databases (with specific working knowledge of Excel/VBA, MATLAB, and SQL) are preferred.
This is a unique opportunity to work with high caliber investment professionals in one of the premier fixed income investment management divisions in the world. Ideal candidates will have demonstrated consistent success in their academic and work experiences. They will have very strong analytical and communication skills and exhibit the highest level of personal and professional integrity. They will be able to think creatively, work independently, solve problems practically, and make decisions rationally, often with limited information.
