Participate in development of the firms quantitative models, derivative pricing, risk framework, and risk database management. Work on development of valuation and risk tools to enhance firms pricing and valuation library, including light exotic or exotic derivatives such as geometric variance swaps with barriers, cross-asset digital options with double no-touch features, options on dispersion, and options on variance. Devise risk calculation tools to monitor risk metrics associated with derivatives for various funds and sub-strategies. Track key risk parameters such as vega for volatility spread strategies, theta for long volatility strategies, and correlation for relative value volatility strategies/funds. Maintain and streamline effective internal/external risk reporting processes for all funds including intraday gamma monitors, daily risk profiles, weekly exposure, and monthly reporting. Create risk metrics and historical scenarios for conducting stress tests/historical scenario analysis on portfolios. Create market/risk analysis reports to satisfy various business requirements such as performance P&L attribution and risk factors exposure. Develop VBA based tools to increase efficiency. Manage firms existing risk database to deliver data-based risk analytics and insights.
The experience and education requirements are:
Three years experience in quantitative risk analysis for investment management.
Masters degree in Finance, Financial Engineering or Mathematics, and Chartered Financial Analyst (CFA) certification.

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