EM Asia Quant Analyst
Point72
Hong Kong
6天前

A discretionary macro investment team is looking to add a Quant Analyst to improve the quantitative methods and techniques used to evaluate, analyze, manage, and construct their risk and portfolio within the EM Asia FX and rates markets.

Job Responsibilities

  • Enhance pricing tools in the linear fixed income and FX / fixed income volatility space using pre-existing pricing libraries in Excel and Python.
  • Build and maintain a database that can be referenced for historical analysis
  • Perform factor modeling on the portfolio, such as Principal Components Analysis (PCA)
  • Perform backtests in fixed income and FX for signal generation in either relative value, directional, or risk premia harvesting (such as volatility selling) strategies
  • Create currency baskets to optimize expression of a singular theme (via correlation reduction, carry enhancement, etc.)
  • Conduct occasional web-scraping to obtain large batches of information
  • Help drive the direction of the team’s quantitative process upon understanding their trading philosophy
  • Desirable Candidates

  • Two to four years of experience in fixed income and FX at a hedge fund or asset manager. EM Asia products experience highly preferred, followed by G10 experience.
  • Candidates from banks who focus on trading signal generation, investment strategy research, and portfolio optimization may also be considered

  • High quantitative literacy in linear derivatives fixed income (interest rate swaps, overnight index swaps, futures) and volatility / options (FX or rates).
  • He / she will not be expected to build curves from scratch but may be required to use pre-existing libraries in Python or Excel to run backtests or enhance existing pricing infrastructure

  • Strong competency in statistical methods (such as single and multifactor regression, principal components analysis, volatility pricing and modeling, autocorrelation, Granger causality)
  • Master’s degree or higher in computer science, statistics, economics, mathematics, or similar quantitative discipline
  • Strong programming skills in Python and VBA
  • Programming skills in C++, Java, Matlab, and R are a plus
  • Previous experience connecting Python code to Excel (using a program such as Pyxll, for example) is a plus
  • Strong quantitative skills
  • Ability to intuitively present work graphically in a way that non-quantitative traders can quickly understand
  • High fluency in written and spoken English
  • Strong communicator who values building relationships with colleagues and stakeholders and can explain complex topics in simple terms
  • Willingness to take ownership of his / her work, working both independently and within a small team
  • Point72 is an Equal Opportunity Employer. Point72 is committed to the principles of equal employment opportunity for all employees and applicants for employment.

    Point72 complies with applicable, local, state and federal laws on the subject of equal employment opportunity.

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