Friday, July 19, 2013

Senior Quantitative Risk Manager Specializing in Mortgages - California

Senior Quantitative Risk Manager Specializing in Mortgages - California

Date: 18 Jul 2013
Location: United States, California
Salary: $Competitive Salary + Excellent Bonus & Benefits
                   
A Leading Global Asset Management Firm seek a highly experienced Quantitative Risk Specialist with Expert knowledge of ABS/MBS modeling for a senior role in their Global Headquarters reporting directly to the CRO
  • California, USA
  • $Competitive Base Salary + Excellent benefits and very strong bonus potential
A top asset management house is looking for a risk manager with experience of traded credit. The firm is a specialized asset-manager dedicated to credit products. The team is experienced in trading and portfolio management in credit products across a global market place. They are one of the leading the credit hedge funds in the market across the US from recorded growth this year and are looking to continue this success.

They are looking for a risk manager with experience of traded credit. This position will directly affect the PnL of the fund and will sit directly with the traders on the floor whilst working closely with the portfolio management and sales teams in building the fund’s AUM. This award winning fund due to the expansion of his trading portfolio requires this key hire to facilitate growth.

The quantitative risk manager will have the following responsibilities;
  • Asset pricing and scenario analytics, inc options
  • Risk framework analytics (e.g. beta, correlation, VaR, Scenario analysis)
  • Macro, historical regression and carry analytics
  • Regular & on demand risk & VaR updates/calculations
  • Fund attribution & performance/marketing analytics
  • Monitoring risk exposure limits
  • Ad-hoc risk scenario analysis
  • Month end risk & P&L attributions
The successful candidate will have the following responsibilities and skills set;
  • 8+ years experience in quantitative finance with knowledge of risk models
  • Experience traded credit products, preferably mortgages, illiquid and distressed debt
  • Knowledge of risk metrics like VaR, PnL etc
  • Tertiary degree in Finance, Math or Engineering etc
  • Preferable IT skills include: VBA, excel

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