A prestigious Asset Management Firm is seeking a Junior to Senior Associate to work in Risk Analytics.
For this position we are looking for someone with 2-5 years of experience working in equity portfolio risk analysis. Our client is open to bringing on a Junior Associate if he/she has the right qualities, math and stats knowledge, and superior excel skills. Salary will be determined taking into consideration an individuals degree of experience and a bonus is to be expected taking on this role.
SUMMARY:
The Senior Associate conducts detailed risk analytics and generates reports for the firm’s funds and other investment vehicles on a regular basis. The Senior Associate is expected to understand the Firm’s portfolio objectives, investment processes, the industry landscape and market events and trends, and leverage technology to apply advanced quantitative financial knowledge to effectively respond to ad hoc and periodical requests for risk analytics, including liquidity risk and security valuation. This position requires the use and understanding of existing analytical tools and software to produce risk and performance attribution analyses using multi-factor models. The Senior Associate will work closely with the Manager of Risk Analytics and collaborate in ad hoc research projects in conjunction with portfolio managers and equity research analysts. The Portfolio & Risk Analytics (P&RA) team has a strong, team-based orientation, yet relies upon its members to take initiative and responsibility for their own individual projects. A quantitative background and a proactive and professional attitude are essential.
ESSENTIAL TASKS include the following; other duties may be assigned.
Risk Analytics
• Develop expertise in the use of third party risk factor models (preferably MSCI Barra models)
• Maintain and enhance risk monitoring reports and factor-based return and risk attribution reports on a regular basis
• Perform ad-hoc risk analysis using third party factor models and other quantitative risk tools and support P&RA risk projects and research with quantitative analysis
• Assist Manager of Risk Analytics in the preparation and presentation of risk analysis to portfolio managers, client service, sales and marketing teams
• Prepare responses for risk-related questions from RFPs, RFI, or other client requests
Risk Factor Exposure Analytics
• Perform regular risk exposure analyses of portfolios including liquidity, overlap, industry exposure, country exposure, and capacity analyses
• Understand the Firm’s portfolios in detail and monitor for unusual/unintended risk exposures
Liquidity Risk Analytics
• Actively participate in the review and development of policies, procedures and reporting related to the implementation of new SEC liquidity rule
• Develop expertise in the use of third party liquidity risk management software and proprietary models
• Perform ad hoc portfolio liquidity analyses and stress tests under different scenarios
• Corroborate accuracy of the data in the liquidity management systems and proprietary models and document liquidity models input assumptions and exceptions
• Participate in the Liquidity Risk Management Program Committee and generate monthly data for liquidity N-PORT filings
• Research and evaluate platforms for liquidity risk analysis to complement current analytical capabilities and stay abreast of industry trends and rule developments
Country and Industry Classifications and other Security Set-Up
• Assist the Compliance department with industry and risk country classifications and poison pills of newly set up securities
• Oversee and maintain country and risk classifications in the Firm’s systems and assess and resolve any classification inconsistencies that may arise
Other
• Assist Manager of Risk Analytics and the Director of P&RA with ad-hoc research projects and the monthly summary of macroeconomic events and trends
• Maintain proprietary quantitative valuation models for illiquid securities
• Work closely with IT developers by providing specifications on risk related analytics and participate in the testing and incorporation of new analytics into the Firm’s proprietary systems
• Attend risk analytics seminars and training sessions, and keep the P&RA team updated on new analytics features and enhancement
QUALIFICATIONS:
Education and Experience:
• Bachelor’s Degree in Mathematics, Economics, Accounting, Finance or similar field
• Advanced degree in quantitative finance or another closely related discipline is desirable. CFA is an advantage
• 2 to 5 years of relevant experience in equity portfolio risk analysis
• Experience with FactSet PA, Bloomberg, Risk factor and liquidity risk models is preferred
Knowledge:
• Advanced understanding of statistics, calculus, and algebra
• Understanding of methodologies applied for performance and risk attribution and liquidity risk
• Understanding of fundamental factor models
• Familiarity with advanced analytics including modern portfolio theory and options valuation
• Knowledge of financial markets, portfolio management concepts, probability theory, econometric modeling and their practical application to investments and equity portfolio management
Skills and Abilities:
• High proficiency in Microsoft Excel and PowerPoint are required (must be able to create and maintain complex spreadsheets, databases, reports, and presentations within Excel and PowerPoint). Programing knowledge is preferred
• Audit and control focus
• Ability to create and maintain complex spreadsheets, databases, reports, and presentations within Excel and PowerPoint
• Ability to work in a team-oriented environment and collaborate with cross-functional teams
• Ability to work independently in a time sensitive environment
• Ability to take initiative, prioritize and organize workload, multi-task, adapt quickly to change, and deliver with strong attention to details under the pressure of deadlines
• Strong verbal and written communication skills that enable complex ideas to be readily understood by others
• Excellent time management skills, detail-oriented, creative, strong work ethic, and interest to develop skills and continue learning
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