Volatility Quant Risk Analyst

Selby Jennings QRF
Manhattan, USA
13 Aug 2022
17 Aug 2022
Job Function
Hedge Funds
Industry Sector
Finance - General
Employment Type
Full Time
A $6bn Multi-Strategy Hedge Fund is seeking a Volatility Risk Analyst to join their team in NYC, working directly with the Head of Risk and PMs across the business.

This role will work closely with PMs across several systematic strategies (Equity and FICC) to develop in house risk models, enhance risk factor selection on vendor models, and perform portfolio optimization.

The volatility research and analysis you perform will be integral in building out the volatility risk framework across asset classes with great exposure to the whole business. You'll lead risk meetings with the front office and contribute to risk-aware portfolio construction, rebalancing, and hedge strategy.

The ideal candidate has 3+ years of experience covering volatility and strong product knowledge in Rates, Rates Derivatives, and Interest Rate Risk as a whole.

  • Develop option pricing models and risk models to measure volatility across asset classes and products
  • Work with the Head of Risk and senior risk management to develop and enhance the vol framework
  • Partner with systematic PMs to implement volatility risk models and frameworks to maximize risk-adjusted returns

  • 3+ years of experience developing volatility strategies/models
  • Master's required, PhD preferred
  • Proficiency writing Python, R, SQL
  • Strong product knowledge covering Futures, Forwards, Options, Rates Products, Rates Derivatives, or Equities
  • Familiarity with Heston Vol Model and GARCH process and models, VIX and VIX products

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