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| Location: |
Chicago, Illinois |
| Recruiter: |
Pinetum Partners LLC |
| Salary: |
$500k+ |
| Post Date: |
2010-02-01 |
| Contact Email: |
sandy@pinellc.com |
| Apply Url: |
mailto:sandy@pinellc.com |
| Source: |
quantster |
| Description: |
2.1.10 / job2210 / Pinetum Partners LLC / Quantitative Researcher, Fixed Income – Portfolio Construction & Risk Chicago, Illinois Compensation: $500k+ Please apply to: sandy@pinellc.comThis is a unique opportunity to be the architect and develop new fixed income quantitative tools and processes for a new fixed income alternative business for a well established and diversified investment management firm. The position will entail portfolio construction, risk management and capital deployment and involve (1) creation of models and tools for the risk estimation of a broad spectrum of instruments and (2) analysis of risk factors that influence the returns of fixed income portfolios to advise on asset allocation and overall portfolio hedges. Researching and retrieving market data to validate performance of the models. Extensive knowledge and experience of factor modeling and statistics is required. Analyzing risk factors that influence a fixed income portfolio. • Working closely with trading desks to distill a set of risk factors that are the key drivers of P&L across the business unit. • Identifying, evaluating and obtaining access to data sources that can be used to generate relevant statistical views of the risk factors in question. • Conducting research and statistical analysis. • Integrating newly developed models into the existing infrastructure. • Maintain and problem-solve existing models, programs and applications. • Assisting in the design, development and maintenance of the research platform. • Designing and implementing models in Matlab or C++. • Creating factor models and evaluating other techniques currently used by the industry. |
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