Unfortunately Two Sigma has archived this job posting, they are no longer
accepting
applications.
Currently we're investigating a bug where the answers are not recorded properly. If you encounter this bug,
please email us at
rfqjobs@gmail.com.
(more about Two Sigma)
Quantitative Risk Manager
Job Location: 100 Avenue of the Americas, New York, NY 10013
Note: Company "Hybrid" work attendance policy: In-office work attendance required at the aforementioned office address for collaboration days based on each team's requirement; telecommuting/working from home is permissible for remainder of the same month.
Duties: Responsible for: monitoring and analyzing performance and risk exposure of the firm’s financial investment portfolios on an intraday and end-of-day basis using a variety of factor-based financial quantitative risk models and P&L attribution; onboarding new internal quantitative risk management products by validating third-party analytics and pricing models; building dashboards and tools to measure the risk accurately and timely for internal stakeholders, investors, and regulatory bodies; monitoring market conditions and risk events and designing and executing stress tests to simulate extreme market scenarios and assess their impact on the firm’s strategies; estimating, analyzing, and monitoring inputs and outputs of quantitative investment strategies, including forecasts, positions, performance, and market impact; building new financial quantitative risk metrics and tools to monitor abnormal portfolio and model behaviors; communicating and escalating issues to Head of Risk and firm management to ensure production tail events are properly investigated; staying updated on market trends, financial regulations, and industry developments that could impact the firm’s risk exposures and using this information to adapt risk management strategies accordingly; and engaging in quantitative research to improve risk forecast and monitor regime shifts of the market and control for the firm’s portfolios.
Minimum requirements: Master’s Degree in Mathematics, Statistics, Financial Engineering, or related Engineering field plus 3 years of experience in Financial Quantitative Risk Management types of positions.
Alternative minimum requirements: Bachelor’s Degree in Mathematics, Statistics, Financial Engineering, or related Engineering field plus 5 years of experience in Financial Quantitative Risk Management types of positions.
Skills required: Must have experience using the following financial quantitative risk management skills/technologies: identifying and quantifying portfolio’s risk exposure according to its trading styles, including market neutral equity, relative value trading, and directional macro; designing stress tests and performing scenario analysis; evaluating risk exposures from financial derivatives including American/European options, interest rate swaps, credit default swaps, binary options, and swaptions; measuring market trends and assessing their impact on the fund’s quantitative risk profile; programming languages including Python and Java; using data structures and algorithms to develop, automate, and maintain quantitative models and risk evaluation tools; statistical techniques including time series analysis, clustering, Bayesian statistics, linear regression, and optimization in interpreting large datasets from diverse sources, ensuring data accuracy and reliability for informed decision making; communicating complex quantitative risk concepts to non-technical stakeholders in written reports/presentations; and devising new risk assessment methodologies, exploring unconventional data sources, and adapting strategies to address evolving market conditions. Must also pass company’s required skills assessment.
Base salary: The base pay for this role will be between $150,000 and $225,000 per year. This role may also be eligible for other forms of compensation and benefits, such as a discretionary bonus, health, dental and other wellness plans and 401(k) contributions. Discretionary bonus can be a significant portion of total compensation. Actual compensation for successful candidates will be carefully determined based on a number of factors, including their skills, qualifications and experience.
#LI-DNI