Macro Quantitative Analyst
7 months ago
Role
A discretionary macro investment team is looking to add a quantitative analyst/developer with strong quantitative skills to improve the quantitative methods used by the pod to analyze, construct and manage their portfolio within the EM Asia and DM FX and rates markets. This candidate will work closely with other quants and senior team members and will over time have increased exposure to the investment process. Please note that this role is to specifically work within an investment team, rather than within a centralized technology team.
Responsibilities
To maintain, upgrade and develop a range of portfolio, risk management and pre-trade analytical tools, ensuring data is updated and infrastructure is fast and reliableProducts include but are not limited to rates (IRS, bonds, bond futures), cross currency, FX (deliverable & non-deliverable spot, forwards, swaps); options (FX and swaptions, possibly including 1st and 2nd generation FX exotics eventually)Involves a combination of improving existing infrastructure (across python/Excel) and developing new toolsThe candidate will primarily receive instruction in the beginning but will be expected to provide ideas on projects in future Work with internal teams to improve data quality and reliability of analytical infrastructure We expect this role to grow over time to incorporate quantitative pre-trade analysis and portfolio structuring analysis using tools this candidate has constructed Collaborate with other quants, PM and analysts on other ad-hoc projects
Requirements
2-5 years of experience in a similar role at a fund, or as a curve building/option pricing quant at a bank. Developers who work in banks or funds with some familiarity across FX and interest rates pricing can be considered. Master’s degree or higher in a quantitative discipline. Highly quantitative undergraduate degrees with the right work experience can be considered High level of proficiency in Python, Excel and VBA; experience in building scalable full-stack web applications is a plus Able to build Excel interfaces to present analytical output in a user friendly and flexible way. Please note that most of the work is presented in Excel and done in either Python or Excel depending on the task. Knowledge of financial products across rates & FX including linear curve building (rates/FX) and options pricing (FX; rates + equities are a plus). The candidate should be able to construct pricing tools using available libraries, but is not expected to know how to build libraries from scratch Familiar with extracting data from external APIs and internal databases, processing data using financial packages, building time-series and presenting output in Excel Experienced in developing and maintaining high-quality, reliable Python infrastructure with Excel interfaces, automated where required Must display a high understanding of his or her role from a commercial rather than purely academic perspective Ideally this candidate is accustomed to presenting quantitative information to stakeholders who are not quantitatively oriented in an intuitive way Fluency in written and spoken English Strong communicator who values building strong relationships with colleagues and stakeholders and has the ability to explain complex topics in simple terms Willingness to take ownership of his/her work, working both independently and within a small team Commitment to the highest ethical standards-
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