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Firmwide Risk Strategist

Principal Responsibilities

• Aggregation of complex financial data across the Firm’s businesses, building risk, performance, and capital analytics to help support the Firmwide initiatives. Contribute to the development of risk management methods and tools for the platform, ranging from state-of-the art capital allocation methods to performance monitoring.
• Ownership in developing quantitative frameworks for identifying, measuring, managing, and reporting risks across the platform
  • Risk and capital model development e.g. VaR, Expected Shortfall, back-testing, etc.
  • Stress-testing across asset classes, scenario design model development
  • PM performance measurement and analytics to help inform the CIO management decisions
  • Capital utilization and allocation models across PM teams
  • Cost of liquidation measurement and management
• Post initial model development work, coordinate with Technology department to ensure changes are deployed into to production
• Design, build, and maintain key risk, P&L, volatility, and capital metrics into dashboard reporting used by senior management

 

Qualifications/Skills Required

• The candidate should have a graduate degree in a quantitative major: statistics, mathematics, engineering, and either professional experience of 5-7 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) or SQL. Proficiency in at least a compiled and statically typed language is a plus; so is demonstrated programming ability on public repositories e.g. GitHub.
• Multi-asset or Fixed Income (e.g. rates, credit, mortgages) experience, with hands on experience with developing and maintaining derivative pricing models
• Knowledge of mathematical and statistical analytics tools: estimation of linear models and dimensionality reductions.
• Sense of responsibility and integrity. Intellectual curiosity and spirit of initiative. 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.