An industry-leading Alternative Investment Manager located in Manhattan, NY is looking to bring in a Head of Quantitative Modeling to lead a team accountable for the day-to-day production and development of the firm's in-house quantitative risk models to be used across the firm's credit portfolios. The fund is known for their presence in structured credit, and focus mainly on Agencies, RMBS, ABS, CMBS, CDOs, CLOs, etc.
This role will report directly to the Head of Risk & Analytics and will involve 2 direct reports. This role is a pivotal hire for the firm's growth initiative heading into Q2.
Responsibilities:
- Manage a team of quantitative analysts and off-shore developers responsible for quantitative risk modeling and statistical analysis for credit portfolios spanning corporate credit, structured credit and private credit
- Provide risk advisory to the front office for portfolio construction, optimization, and hedging
- Maintain and expand the firm's library of risk models and applications
- Develop relationships with other key stakeholders including risk & reporting, portfolio management, technology and treasury
- Provide quantitative advice to the CRO, senior-management and trading desks on hedging strategies, liquidity, risk sensitivity, performance, and PnL attribution
Qualifications:
- Advanced degree from a STEM field, PhD preferred but not required
- 10+ years of experience, buy-side experience is preferred
- Excellent, hands-on programming skills with C++
- Significant knowledge and understanding of credit modeling for structured products (Agencies, ABS, CMBS, CDO, CLO)
- Strong people management skills
