Responsibilities:

• Implement systems for portfolio optimizations, econometric modeling and risk management.  Systematically monitor portfolio exposures to various macro factors, and dynamically hedge them. Utilize appropriate financial instruments, such as Exchange Traded Funds, Swaps and Futures.  Analyze monthly rebalances.
• Automate reporting and risk management system.  Evaluate existing risk analytics for new and existing instruments, suggesting improvements where necessary. Stress test portfolio under various financial market crises to ensure portfolio risks are under control.
• Apply quantitative methodologies such as Monte Carlo simulations, non-normal distributions, Omega ratio and Modified VaR to optimize portfolios in achieving the highest return with acceptable risks. Build econometric models to predict returns for each major strategy.
• Assist in manager selection and due diligence process.  Perform qualitative and quantitative analysis on potential and current hedge fund managers. Participate in on-site meetings. Ensure managers fit with fund goals and strategies.

 Requirements:

• Strong programming skills.
• Degree in Computer Science, Statistics, Finance, Economics or relevant other technical field (e.g. Math, Engineering, Physics, etc.)
• Self-starter who is able to see what needs to be done and is proactive in accomplishing undefined tasks. Self-motivated, able to work in a fluid environment and to complete analysis independently yet strong team player.
• Strong written and oral communication
• Strong interpersonal skills and attention to detail.

Required Skills:

      Programming: C#, C and C++, SQL, VBA and Excel.

      Quantitative:   Basic understanding of Monte Carlo Simulations, Principal Component Analysis, Factor Analysis, Portfolio Optimizations, Time Series Models, Multivariate Analysis, Linear/nonlinear Modeling, Differential Equations, Maximum Likelihood Estimators, Dummy Valuables, Abnormal Distributions and Hypothesis Testing.

Desired:

• SAS and Matlab.
• Knowledge of hedge fund strategies such as: convertible bond arbitrage, fixed income arbitrage, global macro, mortgage arbitrage, capital structure arbitrage, and volatility trading.
• Understanding of the financial markets, portfolio theory and construction, arbitrage strategies and derivatives required.
• MS degree preferred.