Firmwide Risk StrategistPrincipal ResponsibilitiesAggregation of complex financial data across the Firm's businesses, building risk, performance, and capital analytics to help support the Firmwide initiatives. Contribute to the development of risk management methods and tools for the platform, ranging from state-of-the art capital allocation methods to performance monitoring.Ownership in developing quantitative frameworks for identifying, measuring, managing, and reporting risks across the platformRisk and capital model development e.g. VaR, Expected Shortfall, back-testing, etc.Stress-testing across asset classes, scenario design model developmentPM performance measurement and analytics to help inform the CIO management decisionsCapital utilization and allocation models across PM teamsCost of liquidation measurement and managementPost initial model development work, coordinate with Technology department to ensure changes are deployed into to productionDesign, build, and maintain key risk, P&L, volatility, and capital metrics into dashboard reporting used by senior managementQualifications/Skills RequiredThe candidate should have a graduate degree in a quantitative major: statistics, mathematics, engineering, and either professional experience of 5-7 years in a quantitative role in a financial organization, or a MS in financial engineering/economics.Strong programming skills, prior experience with Python (Polars and/or Pandas) or SQL. Proficiency in at least a compiled and statically typed language is a plus; so is demonstrated programming ability on public repositories e.g. GitHub.Multi-asset or Fixed Income (e.g. rates, credit, mortgages) experience, with hands on experience with developing and maintaining derivative pricing modelsKnowledge of mathematical and statistical analytics tools: estimation of linear models and dimensionality reductions.Sense of responsibility and integrity. Intellectual curiosity and spirit of initiative. Willingness to work and have fun in the process.Good presentation and communication skills, experience in either preparing or participating presentation for senior management-style meetings.The estimated base salary range for this position is $160,000to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual's experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
