PnL Attribution Analytics

Millennium Management LLC; Mumbai; On-site; INR 1,800,000 - 2,400,000; Full time

Job summary

Millennium Management LLC is seeking a quantitative analyst for PnL attribution analytics in Mumbai. You will support rebucketing PnL explains, investigate drivers, and provide clear explanations to PMs while collaborating with quants to enhance pricing and risk UI.

The role requires an advanced quantitative degree, strong analytical ability, and excellent communication. A background in derivatives pricing and Python coding is preferred for multi-tasking across projects.

Qualifications

• Advanced degree in a quantitative subject (e.g., Engineering or Maths).
• Strong analytical and numerical abilities with a solid grasp of derivatives pricing concepts.
• Clear verbal and written communication required for explanations to PMs and stakeholders.

Responsibilities

• Support the rebucketing of option-volatility PnL explains at PM level and ensure PnL is allocated to correct risk buckets.
• Investigate drivers of PnL explains, reconcile differences and provide timely explanations to PMs.
• Improve PnL explain UI by collaborating with developers and quants to resolve pricing, PnL or risk issues.
• Maintain high quality control checks around PnL allocation and explain main drivers of PnL against market movements.

Skills

Strong Analytical Skills

Quantitative reasoning

Communication skills

Multitasking ability

Education

Advanced degree in quantitative field (Engineering/Math)

Tools

Python

Job description

PnL Attribution AnalyticsAbout MillenniumMillennium is a global, diversified alternative investment firm, founded in 1989. Defined by evolution, innovation and focus, Millennium’s mission is to deliver results for our investors.Our people are empowered with both independence and support: the autonomy to pursue ideas with conviction and the backing of a global network committed to collaboration, disciplined risk management and continuous learning. With opportunities to deepen expertise and accelerate development, talent at Millennium is equipped to adapt, evolve and build lasting impact over time. Discover how transformative growth accelerates impact.Meet the TeamThe team (Equity Valuations / Portfolio Pricing and Valuations) is responsible for pricing and valuing equity positions and independently verifying marks across the firm's equity books globally (US, EMEA, APAC).What You'll DoSupport the rebucketing of option-volatility PnL explains at PM level, ensuring that PnL is allocated to the appropriate risk buckets and aligned with the underlying risks and market moves.Support PM enquiries around PnL explains by investigating drivers, reconciling differences and providing clear, timely explanations.Help improving existing PnL explain User Interface by actively participating in projects with developers and quants to investigate and resolve pricing, PnL or Risk issues.Maintain high standard of quality control checks and procedure around PnL allocation.Explain and validate the main drivers of PnL, against risks and market moves, ensuring accuracy and timely delivery.Understanding the Greeks and PnL drivers, with a strong intuition of how the interaction of various parameters can affect pricing and PnL.What You BringAdvanced degree in a quantitative subject, such as Engineering or Maths, and at least 2 - 5 years of relevant work experienceStrong Analytical Skills and advanced knowledge of derivatives pricing modelsExperience with Coding (Python) is requiredEffective verbal and written communication skillsAbility to work on multiple tasks simultaneously.