Quantitative Researcher, Enterprise Product
New York, NY
Posted Jun 22, 2021 - Requisition No. 91660
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 particular 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 Aanlytics & Portfolio Research team.
- 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
The candidate should have strong programming skills, demonstrate expertise in quantitative analysis techniques, including knowledge and experience with a range of data sources and statistical analysis. Additionally, the candidate should have experience with building single security pricing model and analytics, knowledge in portfolio research is a plus.
Key qualifications include:
- PhD degree in Mathematics, Economics, Statistics, Quantitative Finance or a similarly quantitative field
- Strong programming skills in Python and database languages such as SQL
- Familiarity with Linux, shell script 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
- 5+ years of experience working on a team dealing with fixed income analytics or quantitative portfolio research
- Outstanding written and oral communication skills