Our USD 3bln global macro hedge fund client is looking to fill a Head of Analytics role. Headquartered in Singapore with offices in New York, San Francisco and London.
The role is responsible for the measurement of the firm's risk exposures, the value at risk, betas and multiple scenarios calculations, the setting up and monitoring of specific limits to safeguard the firm's loss appetite and the risk data integrity of the official reporting to clients and regulators.
Job Description
The Head of Analytics will report to the CRO will interface daily with the Risk Infrastructure Group.
The role will comprise of the following responsibilities:
- Lead the MSCI RiskMetrics implementation. The firm is rebooking all the transactions using MSCI RiskMetrics in order to ensure best industry practice on the risk modelling of the most complex traded instruments and as well provide independent risk numbers, whether sensitivities, V@R, scenarios, stress tests, etc
- Lead all analytics projects for the Risk Group: working with CRO to ensure all statistics and risk metrics used across the board are defined and implemented consistently and with a state-of-the-art approach
- Work on the design of new metrics, signals when required
- Maintain and improve the inhouse multifactor regression engine but also develop new ad hoc quantitative applications to streamline risk analyses of the positions such as best hedges, what ifs scenarios, factor analysis, signals, etc
- Help with quantitative risk management tasks: ensuring correct aggregation of the risk. Overseeing the design of the internal and external reporting, designing scenarios, understanding top of the book risk factors and their correlations, etc
- Ideal candidates will be from Investment Bank or Large Hedge Fund Quants, PhD level in hard science or equivalent, with a 5-10 years professional experience, with a sound cross asset class product modelling knowledge as well as good all round development capabilities in C, R, Python, SQL
Qualifications:
- PhD with 5-10 year relevant professional experience in a Front Office or Model Validation role at a Bank or a Large Hedge Fund
- Excellent financial products valuation modelling skills across multiple asset class a must
- Good practical knowledge in C/Python/SQL/R a must
- Some experience in machine learning is a plus but not required
Others:
- Analytical, Problem Solving, creative thinking and design skills
- Clearly demonstrated sense of urgency, ability to work well under pressure and independently