Director (MD) - Lead, Risk Modeling and Quantitative Research

6 days ago


New York, United States Selby Jennings Full time
Position: Managing Director/Director - Lead, Risk Modeling and Quantitative Research
Location: New York
Firm: Hedge Fund/Asset Manager
Reports to: Head of Portfolio Risk and Analytics
Position Overview:
The MD/D Lead, Risk Modeling and Quantitative Research will oversee a team responsible for the day-to-day production and future development of quantitative risk models and statistical analyses. These models will be applied across the Firm's $50+ billion credit portfolios, encompassing corporate credit, structured credit, and private credit, for the purpose of risk measurement, analysis, and portfolio reporting. The ideal candidate will have strong communication skills to effectively translate complex quantitative innovations into practical insights for risk and portfolio management teams, as well as senior leadership.
Key Responsibilities:
  • Lead and manage a team of quantitative analysts and developers in producing quantitative risk models and statistical analysis for corporate and structured credit portfolios including Agencies, RMBS, ABS, CMBS, CDOs, CLOs, corporate credit (HY, leverage loans, convertible bonds).
  • Maintain and expand the library of proprietary risk models and applications to ensure the robustness and accuracy of risk assessments.
  • Foster collaboration with key stakeholder groups including risk management, client reporting, portfolio management, technology, and treasury.
  • Provide ad hoc risk advisory services to the front office, including risk hedging recommendations on specific portfolios or deals.
  • Continuously refine and improve the sophistication and consistency of risk management and reporting processes.
Qualifications:
  • PhD (preferred) or advanced degree in a math-centric field such as quantitative finance, physics, mathematics, or engineering from a top-tier university.
  • A minimum of 10 years of experience developing quantitative financial models in a risk management or quantitative research role, particularly focused on credit products.
  • Strong programming skills in C++, Intex, Python, SQL, R, or a combination thereof.
  • Significant experience in quantitative analysis and credit modeling for structured products such as Agencies, RMBS, ABS, CMBS, CDOs, CLOs, as well as corporate credit (HY, leverage loans, convertible bonds).
  • Experience with derivative modeling is a plus.
  • Proven leadership ability with experience managing teams of highly technical personnel and establishing strong cross-departmental relationships.


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