Multi-Asset Risk Analyst

PRIMARY PURPOSE OF THE POSITION

The Multi-Asset Risk Analyst position is an integral role within T. Rowe Price’s independent Investment Risk team that is accountable for identifying, measuring, monitoring, communicating about, and helping to mitigate (when warranted) risks impacting portfolios managed by the firm’s Multi-Asset Division, which has assets under management of $336B as of September 30, 2019.  These portfolios include positions in equity, fixed income, and alternative assets implemented through both cash and derivative market instruments.

The Risk Analyst role reports to the Sr. Risk Manager, who leads the global Multi-Asset Risk function, and is expected to collaborate on a regular basis with other Risk Analysts both within the Multi-Asset Risk team as well as more broadly across Investment Risk.

To be successful, the Risk Analyst must:

Be able to accurately evaluate risks under both normal and stressed market conditions through the use of both vendor and proprietary tools; Apply multi-factor risk models, stress testing/scenario analysis, and tail risk measures; Have strong programming skills to enable:  expedient problem solving, the development of solutions that can be scaled across numerous portfolios, and the development of proprietary risk measurement approaches and mitigation strategies; and Be able to clearly summarize analyses and results for both quant and non-quant audiences, which may include portfolio managers, investment division management, clients and consultants.  

The Risk Analyst will have the opportunity to influence new risk reporting, dashboards, and tools as well as provide commentary for investment teams and other key audiences in the design and distribution of multi-asset portfolios.

PRINCIPAL RESPONSIBILITIES

Day-to-day Risk Management Activities:  Support the multi-asset risk program with the day-to-day identification, measurement, monitoring, and communication of risk in multi-asset portfolios. This includes the following activities:  monitoring portfolios for changes in their risk profiles, performing portfolio stress tests based on both hypothetical and historical scenarios, analyzing the interaction between sub-portfolios that act as building blocks and the overall multi-asset class portfolio, and collaborating with investment staff in the Multi-Asset Division on managing portfolio risk. Market monitoring will be required to stay abreast of significant developments and to inform stress testing and scenario analysis. Programming skills will be needed to efficiently access, organize, analyze, and report on risk analysis results. Extension of Risk Modeling Methodologies & Tools:  Prototype and develop risk modeling methodologies and tools to extend upon the core platform provided by MSCI for the identification and measurement of risks within and across investment portfolios. Activities will include tasks related to the development of methodologies and the specification of data needed for risk modeling as well as for inclusion in reports and dashboards. Development will be coordinated with the Multi-Asset Risk team and will include collaboration with associates in Multi-Asset and Global Technology. Programming will be required to prototype calculation engines and provide proof of concept.  Ad-hoc Quantitative Analysis:  Perform ad-hoc quantitative analyses in response to unique requests. Contribute to the development of new products and investment solutions for clients by consulting with the Multi-Asset Division’s research teams on the risk profile of proposed multi-asset portfolios. Communication of Risks:  Communicate about market risk to audiences outside of Investment Risk, as appropriate. Prepare written and verbal commentary based on risk analysis results to portfolio managers and other members of the investment team. Deliver written responses and presentations to clients, prospects, consultants, and regulators, as needed, to support various distribution channels.  

QUALIFICATIONS

Required

• A passion for risk management and a demonstrated interest in financial markets through work experience and outside activities 
• Master’s degree in a quantitative field such as quantitative finance, statistics, applied mathematics, operations research, engineering, or computer science 
• A minimum of seven years of relevant investment risk management experience Multi-Asset risk experience at a buy-side asset management firm 
• A thorough understanding of multi-factor risk modeling in a multi-asset class setting (equity, fixed income, hedge funds, alts, derivatives) using fundamental, technical, and economic risk factors
• Knowledge of derivatives pricing and risk modeling 
• Strong statistical programming and data analysis skills 
• Strong quantitative and analytical skills 
• Excellent communicator with the ability to explain complex ideas clearly and confidently to non-technical/non-quantitative audiences
• Strong interpersonal skills 
• Ability to prioritize and handle dynamically changing work requirements in a fast-paced environment
• Results-driven mindset High standards of work quality and integrity 
• Strong organizational skills 
• Enjoy working as part of a team in a collaborative environment 
• Intellectually curious with a commitment to continuous learning  

Preferred

• Additional post-graduate study or a PhD in a quantitative field 
• Completion or progress towards professional accreditations such as CFA, FRM, PRM, CAIA
• Experience using MSCI’s Barra One platform for multi-asset class risk modeling and stress testing
• Experience using MSCI’s Risk Manager platform for VaR, stress testing and scenario analysis
• Experience programming in MATLAB, R, and Python Job Desctio