Title: Quantitative Strategist - FICC
Compensation: $150k-$200k base salary + discretionary bonus
Summary: A leading global alternative asset manager is looking to onboard a Quantitative Strategist to their investment team covering the global markets. The candidate with work closely with portfolio managers to perform actuarial and financial modeling, sensitivity analysis, pro-forma projection to improve portfolio performance, evaluate investment strategies, and support risk and capital management along with overall portfolio management.
- Assist in formulating asset allocation strategies for the investment portfolio and perform optimizations around asset-liability management, returns and capital within the context of investment guidelines.
- Develop asset models to provide liquidity, investment yield/return and capital projections.
- Collaborate with the deal teams and risk team on asset modeling, cashflow and sensitivity analysis.
- Build internal waterfall models for public and internal securitizations.
- Monitor investment activities, exposures/capacities, liquidity management, sector, asset allocations, concentrations.
- Develop and present reports on investment performance and risk. Monitor compliance with investment policies and trust guidelines.
- Research on capital market assumption models, improving existing quantitative financial processes, and developing new quantitative financial models and optimization techniques.
- 2-4 years' experience in a quantitative role, preferably in asset modeling, portfolio constructions
- Advanced degree in financial engineering, statistics, mathematics, or similar quantitative field from a top university
- Solid programing skills in Python, SQL, Excel/VBA
- Knowledge of statistical and quantitative methods in macro-economics and investments pertaining to asset allocation, portfolio optimization, performance attribution, etc.
- Excellent interpersonal and communication skills, both written and verbal
- High attention to detail, intellectual curiosity, and motivation
- Ability to multi-task and work in a very fast-paced and team-oriented environment
- Experience of portfolio construction with prior insurance experience is a plus.