Risk Quant

Arena Investors I Quaestor Advisors; Bengaluru; On-site; INR 4,500,000 - 7,500,000; Full time

Job summary

Arena Investors I Quaestor Advisors in Bengaluru is seeking an experienced risk quant/manager to support the risk management team by conducting quantitative and data analysis on the existing portfolio, new trades, and instruments across fixed income and credit; duties include front office support and risk capital calculation.

You will develop portfolio analyses, handle scenario analysis, tail risk, concentration, and leverage, interact with operations and technology to enhance Aladdin-based

Qualifications

• 8+ years in financial markets as a desk quant, risk manager, or similar
• Strong bond math skills including duration and convexity
• Familiarity with fixed income, credit (corporate and structured), and FX
• Experience writing advanced Excel macros and some coding
• Proactive communicator with ability to support front office during NY hours

Responsibilities

• Conduct quantitative and data analysis on existing portfolio, new trades, and instruments across asset classes, cash, and derivatives.
• Assist risk management with capital calculations and risk insights.
• Prepare portfolio analyses and charts for presentations, ad-hoc and weekly routines.
• Develop analytics related to asset-liability management and annuity structures; support Aladdin portfolio management workflows.

Skills

Quantitative analysis

Bond math

Fixed income

Excel macros

Bloomberg

Aladdin

FX knowledge

Education

PhD in Finance/Math/Statistics

Tools

Bloomberg Terminal

Aladdin

Job description

Reporting line within Risk Management

Supporting the risk management team by conducting quantitative and data analysis on the existing portfolio, new trades, and instruments across all asset classes, cash and derivatives, specifically in fixed income and credit (single-name and structured); tasks will also include risk management’s support of front office

Calculating risk capital for the business

Provide quantitative insights in portfolio analysis, shock and scenario analysis, tail risks, concentration, and leverage

Preparing portfolio analysis and charts for presentations, on both ad-hoc and weekly routine basis; tasks include occasional mundane “number crunching”

Becoming familiar with annuity insurance structures and analytics related to asset-liability management

Interact with operations and technology on improving analytical setup of Aladdin portfolio management system

8+ years’ experience in financial markets as a desk quant, PhD, or as risk manager in a quantitative trading environment

Closely familiar with fixed income, credit (corporate and structured), and foreign exchange products

Strong bond math skills essential (e.g. duration, convexity, various spread calculations, options)

High familiarity with structured credit items such as tranches, diversity score, credit subordination, prepayments, CDR/CPR shocks

Writing advanced Excel macros and coding

Additional risk management experience a plus, especially analysis of shocks/scenarios, tail risks, illiquidity, concentration, and leverage

Willing to communicate and do ad-hoc work during parts of New York hours

Good communication skills verbally and in writing; most colleagues are based in the US and London

Proactive attitude and eagerness to assume tasks within team

Familiarity with Bloomberg essential and with Aladdin portfolio management system a plus

This job description is not an exhaustive list of all responsibilities, and duties may change.