Quantitative Risk Analyst

4 weeks ago

New York, New York, United States Ares Management Full time
Job Description

Ares Management is seeking a highly skilled Quantitative Risk Analyst to join our team. As a key member of our Risk and Analytics group, you will be responsible for designing, implementing, and testing a comprehensive in-house Alt Credit collateral-level risk and analytics platform.

Responsibilities:
  • Collaborate with other Ares quantitative and IT resources to build the analytics platform, utilizing cloud resources and developing and testing collateral and security projected cashflows, valuations, and risk metrics.
  • Utilize various Python packages to develop and estimate parametric and non-parametric models for ABS collateral behavior, and support integration of bespoke analytics with third-party vendor product APIs.
  • Develop algorithms to process big data outputs and create informative reporting for senior leadership, and implement and test insurance-based metrics and analytics generation based on business guidance.
  • Continue support and maintenance of the analytics platform, once initial build is complete, and partner with portfolio management and other team members to support AIS analytic needs as required.
  • Build strong relationships with portfolio managers and members of other operational and quant teams across Ares and outside managers to act as a key point of contact to prioritize and answer questions relating to investment data/analytics.
Qualifications:
  • Undergraduate and/or advanced degrees in finance, mathematics, engineering, and/or computer science preferred.
  • 3+ years of quantitative modeling and development experience within a financial services firm.
  • 3+ years of practical experience of model development in Python, preferably in a production environment, is essential.
  • Experience building econometric or machine learning models is a plus.
  • Experience building algorithms that solve complex global optimization problems is a plus.
  • Professional designations such as CFA, FRM, etc., would be viewed favorably, but not essential.
  • Basic understanding of modern financial mathematics, including bond mathematics, Monte Carlo simulation in real and risk-neutral environments, and interest-rate modeling, is essential.
  • An understanding of bond mathematical concepts, such as duration, convexity, option-adjusted spread, z-spread, spread duration, key-rate duration, interest curve building, bootstrapping, etc., is required.
  • SQL, Python required; experience using VS Code IDE, WSL, and shell scripting languages (e.g., bash) preferable.
  • Practical experience using GIT is required.
  • Knowledge of Docker and Cloud applications (e.g., AWS/Azure) would be viewed favorably.
  • An understanding of basic accounting, regulatory, risk management, and strategic frameworks under which insurers operate, would be viewed favorably, but not required.
  • Excellent problem-solving abilities, intellectual curiosity, and experience in understanding and solving complex issues.
  • High level of integrity enabling the candidate to become a trusted partner to clients and peers.
Reporting Relationships:

Head of Risk, ALM & Capital Management, Ares Insurance Solutions

Compensation:

The anticipated base salary range for this position is $110,000-160,000. Total compensation may also include a discretionary performance-based bonus.

Ares offers a number of additional benefits, including access to a world-class medical advisory team, a mental health app, a mindfulness and wellbeing app, financial wellness benefit, new parent leave, reproductive and adoption assistance, emergency backup care, matching gift program, education sponsorship program, and much more.

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