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Factor Modelling - Investment Bank |
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Written by MBA Jobs
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Saturday, 06 February 2010 |
Factor Modelling role:
About the client:
Leading Investment Bank, Mumbai
Role :
This is a mid-career opportunity for a candidate with analytical and programming skills. The opportunity will involve working with industry experts on factor modeling, understanding of which underpins a great deal of modern portfolio management. The work will be generally applicable to large portfolios, but a target area of great interest is in the management of internal inventory. The positions will report to the factor model think tank based out of Hong Kong, London and New York
Primarily you will develop and maintain a multifactor risk model for algorithmic equity trading and conduct research and data analysis on portfolio risk and market microstructure. Responsibilities will include factor risk decomposition/return attribution, trading research and market data analysis.
You should have a clear understanding of linear statistical models and standard quadratic optimization problems. An understanding of the relevance of factor models to portfolio construction and risk attribution along with the importance of good data in the construction of linear factor models is required.You shouls also have strong Matlab and Python coding skills .A user-level understanding of databases and the linux operating system is required
Requirements
Have a passion for technology and doing things 'the right way'
Have the ability to think 'out of the box'
Have a fierce desire to learn
Be a self-starter
Academic Background and Technical Skills
2+ years of relevant industry experience. An advanced degree in science or engineering,
The candidate should demonstrate understanding of the financial markets and possess strong knowledge of statistical data analysis.
Familiarity with digital signal analysis and machine learning techniques is a plus; solid knowledge of linear algebra and numerical methods is required
Excellent written and verbal communication skills are a must
Programming skills: Matlab, R, or Splus; C, C++, Java, or Python; database experience is highly desirable.
Knowledge of asset pricing models (CAPM and APT) and risk modelling approaches is desirable.
Flexibility to work US or EU hours on an ‘as needed basis’
Location
Mumbai
Please do send across your resume to grace.marian@careernet.co.in
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