Our client is regarded by the investment community as one of the best institutionally focused fund of fund managers in the country.  We are looking for a skilled Quantitative Analyst / programmer to work closely with Portfolio Managers and software engineers to develop and implement new econometric models and risk management systems.  We provide a great working environment and solid upward mobility for the right individual.

Responsibilities:

• Develop risk management system. Evaluate existing risk analytics for new and existing instruments, suggesting improvements where necessary.  Stress test portfolio under various financial market crises to ensure portfolio risks are under control.
• Implement systems for portfolio optimizations, econometric modeling and risk management.  Systematically monitor portfolio exposures to various macro factors, and dynamically hedge them.  Utilize appropriate financial instruments, such as Exchange Traded Funds, Swaps and Futures.  Analyze monthly rebalances.
• Apply quantitative methodologies such as Monte Carlo simulations, non-normal distributions, Omega ratio and Modified VaR to optimize portfolios in achieving the highest return with acceptable risks.  Build econometric models to predict returns for each major strategy.
• Assist in manager selection and due diligence process.  Perform qualitative and quantitative analysis on potential and current hedge fund managers.  Participate in on-site meetings.  Ensure managers fit with fund goals and strategies.

 Requirements:

• MUST BE A US CITIZEN/EAD or GREENCARD HOLDER!!!!!!!!!!!!!!!!!!!!
• Degree in Finance, Statistics, Economics or relevant other technical field (e.g. Math, Engineering, Physics, etc.)
• Strong programming skills.
• Self-starter who is able to see what needs to be done and is proactive in accomplishing undefined tasks.  Self-motivated, able to work in a fluid environment and to complete analysis independently yet strong team player.
• Strong written and oral communication and interpersonal skills and attention to detail.

      Required Skills:

      Programming: STRONG SQL, VBA, Excel, SAS, Matlab, C#, C and C++.

      Quantitative:   Basic understanding of Monte Carlo Simulations, Principal Component Analysis, Factor analysis, Portfolio Optimizations, Time Series Models, Multivariate Analysis, Linear/nonlinear Modeling, Differential Equations, Maximum Likelihood Estimators, Dummy Valuables, Abnormal Distributions and Hypothesis Testing.

      Desired:

• Knowledge of hedge fund strategies such as: convertible bond arbitrage, fixed income arbitrage, global macro, mortgage arbitrage, capital structure arbitrage, and volatility trading.
• Understanding of the financial markets, portfolio theory and construction, arbitrage strategies and derivatives required.
• MS preferred.