Portfolio Researcher
Principal Responsibilities
- Development of multi-asset class analytics across all MLP strategies, supporting the Office of the CIO across Enterprise-wide initiatives
Building a multi-asset class risk and pricing analytics framework. This includes performance attribution, working with relevant asset class pricing model libraries.
Contributions to the development of multi-asset class content generation as well as centralized visualization tools for the platform used by senior managementOwnership in developing a quantitative framework for identifying, measuring, managing, and reporting multi-asset class analytics across the platformPM performance measurement and analytics to help inform management decisions
Ownership of a multi-asset class stress-testing framework, including research on multi-asset class hedging strategiesCapital utilization and allocation models across portfolio manager teams. Cost of liquidation measurement and management, as well as associated returns relative to constrained resourcesPost initial model development work, coordinate with relevant Technology departments to ensure changes are deployed into to productionQualifications / Skills Required
Hands on experience developing and maintaining risk and / or derivative pricing modelsThe candidate should have a graduate degree in a quantitative major : statistics, mathematics, engineering, and either professional experience of 7 years in a quantitative role in a financial organization, or a MS in financial engineering / economics.Strong programming skills, prior experience with Python (Polars and / or Pandas). Proficiency in at least a compiled and statically typed language is a plusKnowledge of mathematical and statistical analytics tools : estimation of linear models, dimensionality reduction techniques e.g. Equity Factor Models, Principal Component Analysis, etc.Sense of responsibility and integrity. Intellectual curiosity and entrepreneurial mindset. Willingness to work and have fun in the process.Good presentation and communication skills, experience in either preparing or participating presentation for senior management-style meetings.The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual's experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
Salary : $160,000 - $250,000
