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.
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
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
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