Investment Risk Analyst, Fixed Income
PRIMARY PURPOSE OF THE POSITION
The Fixed Income Investment Risk Management Team resides within the Quantitative Fixed Income Investments and Research Group, and supports the Fixed Income Division with risk oversight, monitoring, identification and reporting. The team is additionally tasked with providing systematic alpha via risk management and portfolio construction, in partnership with the Quantitative Fixed Income Investments and Research Group. The FI Investment Risk Analyst takes active role in platform and process design and execution to facilitate these two functions, leveraging a quantitative skillset based on data manipulation, scripting, building web applications and reports. The individual will also seek feedback on and socialize platform enhancements, leveraging strong communication and leadership skills. Due to the broad nature of the Fixed Income mandates supported by the team, the Investment Risk Analyst will gain exposure to a broad set of Fixed Income sectors and currency management. The incumbent will be familiar with FI income investing and currency management.
Risk Oversight and Reporting
- Support and enhance existing processes used to provide insights into risk exposures and tail risks, utilizing risk modeling, stress testing and scenario analysis.
- Conduct daily risk analysis and monitoring of Fixed Income portfolios, across a broad variety of sectors. Assess global market risk, and pro-actively identify areas of stress.
- Regularly consult with key audiences, including portfolio managers, providing feedback on risk positioning and highlight latent risks.
- Conduct ad-hoc risk analyses to enhance and support the platform
- Design, develop/prototype, and deliver risk-modeling tools and solutions to enhance platform efficiency and effectiveness, in partnership with Global Technology Division and other Partners.
- Analyze broad division-wide performance and risk information and create reporting and exhibits to succinctly synthesize the core findings.
- In partnership with Enterprise Risk Management, provide responses to queries from clients, prospects, consultants, regulators and internal audiences.
Quantitative Risk Support for Portfolio Management
- Enhance process for providing a source of systematic alpha to managers based on risk positioning, in partnership with Fixed Income Quantitative Investment and Research.
- Highlight latent risks in portfolio exposures, based on intimate understanding of portfolio strategy and positioning. Proactively suggest alternative implementations of investment themes, in line with analyses informed by risk modeling.
- Bachelor’s degree in quantitative discipline (e.g. Mathematics, Physics, Engineering, Finance, Economics).
- Professional accreditations such as CFA, FRM, CAIA
- Exposure to, and passion for, fixed income markets. Investment and operations related background, gained while engaged in quantitative investing or risk-management at a buy-side management firm.
- Programming experience in R, Python, and/or MATLAB, as well as SQL.
- Exposure to a global risk framework for portfolio risk and stress testing, including Barclay’s POINT and Bloomberg PORT for risk modeling, stress testing, and scenario analysis.
- Experience with MSCI’s Barra One and Risk Manager platforms.
- Experience with performance attribution of fixed income portfolios.
- Strong written and verbal communications skills.
- Ability to establish rapport with investors, traders, risk managers, quantitative analysts, technologists and operations.
- Ability to communicate complex analytical concepts at the appropriate level to a variety of audiences.
- Ability to independently own projects and proactively make decisions, in alignment with team goals, and with a keen attention to detail.
- Capacity to generate ideas towards future growth, in the areas of both investments and operations.