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Seeking for an individual with strong quantitative skills, ability to deal with complex problems in a fast-pace environment, results oriented and proactive in engaging counterparts. Primarily responsible for maintaining and developing stress liquidity models across asset classes.
Responsibilities:
Product Coverage: Multi-asset (FI, Equities, Crypto, Converts, Derivatives, Mortgages)
Liquidity Modeling: Work with senior team members within Treasury, Risk and Trading Desks to develop/calibrate stress liquidity models for the different products traded by the firm
Model Implementation/Validation: Preparation of detailed model specifications. Coordination with Information Technology to implement stress liquidity models in production, including testing and validation
Qualifications:
Professional experience of 2+ years in a quantitative role in a financial organization, ideally in a front office risk role at a Prime Broker
The candidate should have a degree in a quantitative field: statistics, mathematics, engineering or a related field. An advanced degree in a quantitative field is preferred
Strong programming skills, prior experience with Python (NumPy, Pandas) and SQL. Strong excel skills a plus
Knowledge of margin frameworks employed by Prime Brokers, Exchanges and Clearing Houses, Stress testing, tail-based risk models
Ability to communicate with counterparties to understand and replicate margin frameworks through quantitative modeling
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.
About Millennium is a global alternative investment management firm, founded in 1989, which manages more than $56 billion in assets. Technology... Read more