Quantitative Researcher - Fixed Income Risk Models

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New York, NY

Posted Mar 21, 2024 - Requisition No. 124009

Bloomberg’s Portfolio and Index Research group is responsible for the development of quantitative models for the analysis of portfolio risk & performance, as well as the research of investment strategies across asset classes that capture systematic premia or investor preferences. Within this group, the Fixed Income Analytics & Portfolio Research team supports the risk model, attribution, and scenario analysis for all fixed income cash bonds and derivatives using advanced quantitative techniques.

We are seeking a quantitative researcher to join an active research team responsible for fixed income risk model and performance attribution. The role will be primarily focused on the development and support of risk and attribution models for fixed income bonds and derivatives. The role reports to the head of the Fixed Income Analytics & Portfolio Research team.

We are looking for someone with strong programming skills who can demonstrate expertise in quantitative analysis techniques, including knowledge and experience with a range of data sources and statistical analysis. Additionally, we would like you to have experience with building a single security pricing model and analytics.

We’ll trust you to:

  • Validate security level analytics generated by Bloomberg pricing models
  • Develop and validate models covering risk forecast and performance attribution for fixed income and derivatives
  • Collaborate with Data, Product, and Engineering teams
  • Propose and substantiate new research ideas
  • Communicate clearly through face-to-face meetings, presentations and written publications
  • Deliver complex projects with multiple stakeholders

You'll need to have:

  • PhD or equivalent experience
  • 5+ years of experience within fixed income analytics or quantitative portfolio research*
  • Programming skills in Python and database languages in addition to Linux, Shell Scripts, and Github
  • Experience building single security pricing models for bonds and fixed income derivatives
  • Experience implementing statistical models that apply cross-sectional and time-series econometrics, dimensionality reduction, and optimization techniques
  • Demonstrated effective communication with both internal and external stakeholders

We’d love to see:

  • Degree in Mathematics, Economics, Statistics, Quantitative Finance, or a similarly quantitative field

*Please note we use years of experience as a guide, but we will certainly consider applications from all candidates who are able to demonstrate the skills necessary for the role.

If this sounds like you: 

Apply if you think we're a good match! We'll get in touch with you to let you know what the next steps are.

Bloomberg is an equal opportunity employer, and we value diversity at our company. We do not discriminate based on age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.

Bloomberg provides reasonable adjustment/accommodation to qualified individuals with disabilities. Please tell us if you require a reasonable adjustment/accommodation to apply for a job or to perform your job. Examples of reasonable adjustment/accommodation include but are not limited to making a change to the application process or work procedures, providing documents in an alternate format, using a sign language interpreter, or using specialized equipment. If you would prefer to discuss this confidentially, please email AMER_recruit@bloomberg.net (Americas), EMEA_recruit@bloomberg.net (Europe, the Middle East and Africa), or APAC_recruit@bloomberg.net (Asia-Pacific), based on the region you are submitting an application for.

Salary Range: 155,000 - 285,000 USD Annually + Benefits + Bonus

The referenced salary range is based on the Company's good faith belief at the time of posting. Actual compensation may vary based on factors such as geographic location, work experience, market conditions, education/training and skill level.

We offer one of the most comprehensive and generous benefits plans available and offer a range of total rewards that may include merit increases, incentive compensation [Exempt roles only], paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) +match, life insurance, and various wellness programs, among others. The Company does not provide benefits directly to contingent workers/contractors and interns.

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