Head of Quantitative Credit Modeling (Dir, MD), Large Hedge Fund, NYC

This truly outstanding alternative Asset Manager over $200 billion across a range of Credit, Real Estate, PE strategies for its institutional & private clients, employing disciplined portfolio construction & rigorous research techniques. They now seek to recruit a head of quant modeling & research to lead a small team responsible for quantitative risk models and statistical analyses. You’ll also need great communication skill to explain technical financial and data science issues to risk management, PMs and across the firm.

KEY RESPONSIBILITIES:

• Manage a team of quants & developers for the production of quant risk modeling & statistical analysis for a $56+ billion complex of credit portfolios spanning all manner of corporate credit, structured credit and private credit
• Expand the library of proprietary risk models and applications
• Partner with groups including risk and client reporting, portfolio management, technology and treasury
• Work directly with PMs to provide risk hedging advisory for specific portfolios or new deals
• Improve the consistency of the risk management and reporting process.

ESSENTIAL SKILLS:

• Over 10+ years’ quantitative experience developing quant models for risk & quant research in the context of credit products
• Strong hands-on C++, Intex, Python, SQL, R or combination thereof
• Exceptionally strong experience of quant analysis of structured products across: Agencies (RMBS, ABS, CMBS, CDOs, CLOs)  and Corp Credit (HY Lev Loans, Convertible)
• Some background in Derivatives modeling
• Proven ability to lead teams of highly technical personnel
• Excellent communication skills across all levels
• PhD, Masters in scientific discipline from a top university (e.g. Physics, Quant finance, Mathematics, Engineering, etc.)