What are the responsibilities and job description for the Senior Quantitative Researcher, Treasury position at Balyasny Asset Management LP?
Senior Quantitative Researcher - Treasury
The Treasury Quant team at Balyasny Asset Management is expanding, and we are looking for a Senior Quantitative Researcher. The Treasury Quant team is responsible for firm-wide portfolio construction, globally, across all asset classes, aimed at minimizing margin, and contributing to maximizing the Firm's liquidity buffer.
The Quantitative Researcher will :
- Develop and implement internally consistent risk-based models for margin allocation and optimization, across all asset classes
- Constantly review and upgrade margin allocation models.
- Design and implement margin optimization processes for different asset classes
- Enhance the analytics suite used by the treasury team to measure and manage capital utilization and allocation
- Analyze and approximate various house and reg margin methodologies, including cross-margin
- Collaborate with the risk team to leverage their offering for margin methodologies
- Create risk-based explain tools for margin allocation and drivers
- Work with Portfolio Managers and Business Leaders to refine margin attribution models
- Help expand product coverage and methodologies used for various margin calculators and treasury specific analytics tools for efficient capital deployment
- Expand the quantitative framework for managing the firm's liquidity, cash and collateral deployment
- Design, prototype, test, and implement risk-based margin models
Qualifications and Requirements :
