Senior Fixed Income Risk Analyst - Consultant

The FISER Group; United States; On-site; USD 90,000 - 120,000; Full time

Job summary

A leading asset management firm seeks an interim fixed income risk consultant to work closely with portfolio management teams. Responsibilities include calculating and tracking portfolio risk exposures, producing value at risk reports, and developing risk models. Ideal candidates will have strong programming skills and a quantitative mindset along with good communication abilities. This role requires self-sufficiency and initiative. A competitive compensation package is offered.

Qualifications

• Possess a quantitative mindset and programming ability.
• Good understanding of risk models and different investment processes is essential.
• Self-sufficiency and initiative are required.

Responsibilities

• Calculate and track portfolio risk exposures.
• Produce Value at Risk (VaR) and scenario analysis reports.
• Assist in monitoring hedge positions and exposures.
• Support development of fixed income risk models.
• Utilize risk analytics platforms to produce and interpret metrics.
• Develop automated reporting tools and dashboards.

Skills

Quantitative mindset

Programming ability (Python, R, SQL)

Good knowledge of derivatives

Good communication/interpersonal skills

Tools

BlackRock Aladdin

Bloomberg PORT

MSCI BarraOne

PowerBI

Tableau

Job description

We are partnered with a global asset manager who seek an interim fixed income risk consultant. The function works with portfolio management teams, providing timely challenge and advice in ensuring portfolio construction, risk taking, and the drivers of risk and return align with the intended approach and client expectation. The team provides insightful & value-add services to enhance investment decision making and implementation to the benefit of both risk and return. The nature of the role demands a quantitative mindset, programming ability and good knowledge of derivatives. You will possess good communication/interpersonal skills, a good understanding of risk models and different investment processes combined with self-sufficiency and initiative.

Responsibilities

• Calculate and track portfolio risk exposures, including aspects such as duration, convexity, yield curve positioning, spread duration, DTS, and factor exposures.
• Produce Value at Risk (VaR), tracking error, and results from scenario analysis and stress tests reports for review by portfolio managers and risk management leadership.
• Assist in monitoring hedge positions and exposures for seed capital investments. Prepare reports on hedge effectiveness, P&L attribution and residual risk. Maintain supporting documentation for hedging activities.
• Support the development and validation of fixed income risk models.
• Conduct ad-hoc analysis on interest rate, credit and macroeconomic risk exposures.
• Utilize risk analytics platforms like BlackRock Aladdin, Bloomberg PORT, and MSCI BarraOne to produce and interpret portfolio risk metrics.
• Employ programming tools (Python, R, SQL) to extract, process, and visualize large datasets.
• Develop automated reporting tools and dashboards using PowerBI or Tableau.
• Prepare client-ready risk commentary for quarterly reviews and due diligence requests.
• Analyze performance attribution reports to identify key risk and return drivers, linking performance outcomes to portfolio positioning and market factors.
• Respond to direct requests from portfolio managers and engage with them proactively.
• Produce ad-hoc reports addressing risk issues in current market conditions.
• Support the implementation and development of quantitative solutions for risk management.