- BBBH799571 Nov 19, 2021 Competitive
My client, a well reputed hedge fund is looking for a Quantitative Risk Manager to support the system migration. This is a part of the risk management group and is highly convertible to permanent.
Quantitative Risk Manager
(6 Months contract - convertible on the basis of performance)
Morgan Mckinley is working in partnership with a globally leading hedge fund that is looking to fill a role in its Risk Management Group.
The Risk Management Group is responsible for the measurement of the firm's risk exposures, the value at risk, betas, and multiple scenarios calculations, the setting up and monitoring of specific limits to safeguard the firm's loss appetite and the risk data integrity of the official reporting to clients and regulators. All this reference data is processed and distributed to the end users with an in-house infrastructure, operated by the Risk Infrastructure Group, reporting into CRO.
- The Quantitative Risk Manager will report to the CRO and will interface daily with the Risk Infrastructure Group. The role combines classic risk management functions together with challenging modelling and quantitative work and project responsibility.
- Lead all analytics projects: working with CRO to ensure all statistics and risk metrics used across the board are defined and implemented consistently and with a state-of-the-art approach. Work on the design of new metrics, signals when required.
- Design, implement, manage, and report a set of stress tests, historical and ad hoc scenarios.
- Operate and improve Beta model (model at the core of investment process) such as maintain and improve existing code base and liaise with PMs and CRO to agree improvements to the model
- Maintaining the existing risk limit code base to keep it operational always and consistent with its definitions. This includes providing production support with associated live IT processes/ analytics.
- Sign off on official regulatory and client risk reporting.
- Review all risk taking once a week and report detailed positioning to CRO. Express market views and prepare risk management challenges to Front Office. Help CRO preparing for weekly risk calls, monthly risk committee and monthly PM meetings
The Successful Applicant
As a successful applicant, you would have the following skills & qualifications:
- Ideal candidates will be risk managers with a quantitative background, 5-10 years' experience, with cross asset class market risk management knowledge as well as quantitative finance and database management knowledge, together with very good coding capabilities.
- Outstanding academic achievements with 5-10-year relevant professional experience
- Good practical knowledge in Java/Python/SQL/R is a must
- Good cross asset class products and market risk management processes knowledge
- Relevant experience in machine learning is a plus but not required
- Analytical, Problem Solving, creative thinking and design skills
- Clearly demonstrated sense of urgency, ability to work well under pressure and independently
Referrals are greatly appreciated.
Morgan McKinley Pte Ltd
EA Licence No: 11C5502
Registration No: R1770166
Registration Name: Suhani Malhotra
Only shortlisted candidates will be responded to, therefore if you do not receive a response within 14 days please accept this as a notification that you have not been shortlisted.
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