Quantitative Analyst

US-MN-Minnetonka
2 months ago
Job ID
2017-1882
# Positions
1
Experience (Years)
3
Category
Risk

Overview:

Pine River Capital Management is a global alternative investment firm focused on relative value trading across a wide range of markets, regions and asset classes. Founded in early 2002, the firm provides alternative investment solutions to qualified clients through commingled hedge funds, separate accounts, listed investment vehicles, and committed capital vehicles. Pine River is headquartered in Minnetonka, Minnesota, with offices in New York, London, and Hong Kong.

 

Pine River is currently seeking an experienced Quantitative Analyst to join our team in Minnesota.  The primary duty of the Quantitative Analyst is to enhance modeling and frameworks for analyzing portfolio risks; work on pricing and hedging models for a variety of financial instruments and derivatives; and contribute to the development of risk scenarios, appropriate model calibration, and implementation in risk systems.

Responsibilities:

  • Develop pricing and hedging models for a variety of financial instruments and derivatives, including Convertible Bond, Asset Swapped Convertible Option Transaction, Corporate Bond, Credit Default Swap (CDS), CDX Option, Collateralized Loan Obligations (CLO), Interest Rate Derivatives and Equity Derivatives;
  • Write quantitative models in C++ and work with developers in integrating the models into internal proprietary systems;
  • Develop quantitative trading strategies in long/short equity and equity derivatives;
  • Develop risk management processes, including scenario analysis and risk models for daily risk management of portfolios;
  • Perform P&L analysis for various relative value strategies, including Long/Short equity, convertible bond arbitrage, credit derivatives, and equity derivative.
  • The technologies utilized by the Quantitative Analyst include: programming in C/C++, Excel/VBA, R/R-studio, profiling tool for performance analysis/improvement of C++ programs, and Microsoft Visual Studio, SQL database, and Bloomberg terminal.

Qualifications:

  • This position requires a Master’s degree or equivalent in Financial Economics, Economics, Finance, or related field, plus three (3) years of related experience.
  • Experience must include three (3) years of experience, which may be concurrent, in all of the following:
    • Developing pricing and hedging models for a variety of financial instruments and derivatives, including Convertible Bond, Asset Swapped Convertible Option Transaction, Corporate Bond, Credit Default Swap (CDS), CDX Option, Collateralized Loan Obligations (CLO), Interest Rate Derivatives and Equity Derivatives;
    • Developing risk management processes, including scenario analysis and risk models for daily risk management of portfolios;
    • Writing quantitative models in C++ and work with developers in integrating the models into internal proprietary systems;
    • Developing quantitative trading strategies in long/short equity and equity derivatives;
    • Performing P&L analysis for various relative value strategies, including Long/Short equity, convertible bond arbitrage, credit derivatives, and equity derivative;
    • programming in C/C++, Excel/VBA, R, profiling tool for performance analysis/improvement of C++ programs, and Microsoft Visual Studio, SQL database, and Bloomberg terminal.
  • All experience may be gained concurrently and may have been gained before, during or after completion of the Master’s degree program.

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