Enterprise Risk Modeling - Cross Asset Quant

Enterprise Risk Modeling - Cross Asset Quant

Principal Responsibilities

• Development of cross-asset analytics across all MLP strategies, supporting the Office of the CIO and Business Management across Firm-wide initiatives
  • Leverage multi-asset class risk and pricing analytics framework to develop insights using rich datasets.
  • Contributions to the development of multi-asset class content generation, as well as centralized visualization tools for the platform
  • Specification of statistical modeling techniques to generate risk insights. Development of classical Value-At-Risk, Stress Testing, Performance Analytics methodologies, as well as the application of machine learning techniques (e.g. Gaussian Mixture Models, Hidden Markov Models, etc.) to financial data sets
• Post initial model development work, coordinate with relevant Technology departments to ensure changes are deployed into to production

Qualifications/Skills Required

• The candidate should have a degree in quantitative major: Mathematics, Engineering, Statistics and professional experience of 2+ years in a quantitative role in a financial organization
• Knowledge of mathematical and statistical analytics tools a plus, but not required: Estimation of linear models, dimensionality reduction techniques e.g. Equity Factor Models, Principal Component Analysis, etc.
• Sense of responsibility and integrity. Intellectual curiosity and entrepreneurial mindset, ability to fast paced environment and engage with senior management.
• Good presentation and communication skills, experience in either preparing or participating in presentations for senior management 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.