Plan and participate in the development of interest rate risk hedging programs by identifying and analyzing areas of potential risk to the fund assets, developing or implementing risk assessment models or methodologies, and conducting statistical analyses to quantify risk using relevant statistical and/or mathematical models; Gather comprehensive risk-related data from both internal and external sources and maintain input accuracy and other data quality for the information used in the models; Accumulate and analyze significant amounts of data to help predict the direction and magnitude of interest rate movements along the US yield curve; Maintain an understanding of macro data encompassing employment, inflation - CPI, PCE, inflation expectations growth, PMI - industrial and service output, Fed interest rate expectations, commodity prices, credit spread data, Baltic dry index and other trade data, cross currency basis, housing data, mortgage application data, and other macro time series; Merge macro data with “technical data” on the trading patterns of US interest rates including Treasuries, Swaps, Swaptions, and Agency MBS TBA to formulate a more nuanced picture of the direction of interest rates; Devise systems and processes to monitor validity of the outputs, including tracking, measuring, or reporting on aspects of market risk for interest rates, to ensure the viability and accuracy of the risk modeling outputs, and devise scenario analyses reflecting possible severe market events, and analyzing changing factors, such as new legislation, to determine their impact on interest rate exposure; Accumulate, manage, and process data series using coding skills in programs like Python, Stata, R, or SAS; Write financial programs to pull information from various sources using APIs, merge and clean data sets, and perform machine learning or other statistical analysis including random forest and principal component analysis on the series; Accumulate and analyze data and synthesize it into graphical or other formats; Utilize charts packs with over 100 individual figures which track data series for hedging analysis; Identify and communicate risks associated with specific trading strategies and/or position on an ongoing basis to recommend ways to control or reduce risk; Identify the optimal strategy to hedge the interest rate risk at the 10-30-year point on the yield curve through Cash Treasuries, Treasury Futures, Interest Rate Swaps or Agency TBA in one of a variety of coupons; Conduct a relative value analysis of the individual instruments by reviewing past trading patterns and relationships, expected supply and demand of the individual instruments, Bloomberg data for the various instruments, and Wall Street and independent research; and Use strong communication skills (verbal and written) to make recommendations to portfolio managers to re-hedge or change hedges in the portfolio. Telecommuting may be permitting. When not telecommuting must report to Richbrook Advisors LP, 540 Madison Ave, 26th Floor, New York, NY 10022. MINIMUM REQUIREMENTS: Must have a Bachelor’s degree or U.S. equivalent in Finance, Commerce, Computational Finance, Financial Engineering, Econometrics, Statistics, or a related field, plus 2 years of professional experience as an Analyst, Specialist, or other occupation/position/job title involving financial risk analysis. Must also have the following special skills: 2 years of professional experience performing quantitative analysis for interest rate market and mortgage-backed securities (including identifying key risks and mitigating factors of potential investments within specific investment classes) and researching, analyzing, and developing risk strategies (including interest rate hedging programs); 2 years of professional experience performing quantitative research and portfolio analysis including analyzing trade data, market trends, and sell-side research for new portfolio opportunities; 2 years of professional experience building models and tools utilizing advanced programming languages including Python, Bloomberg, and Excel VBA; 2 years of professional experience project managing and communicating findings to senior financial stakeholders; 2 years of professional experience analyzing mortgage-back securities; and 1 year of professional experience accumulating and synthesizing large data sets of US and global macro financial data and interest rate market data.
Minimum Salary: 90,958Maximum Salary: 145,000Salary Unit: Yearly