Lead Quantitative Researcher – Alternatives Risk

As part of FactSet’s Analytics & Trading Middle Office Solutions Unit our Risk Quantitative Research and Development team (Risk QRD) is responsible for researching and developing FactSet’s in-house factor based multi-asset class (MAC) risk models. That includes linear factor modeling, risk factors multivariate distribution fitting and Monte Carlo simulation, Full-valuation MAC risk modeling, among others. This is a global team that consists of self-motivated, articulate and highly skilled professionals. A unique blend of people with strong quantitative and technical skills.

Our team is the source of both new and existing in-house risk models which means what we build has downstream consequences for many other systems and teams, including but not limited to: software engineering, product development, model validation, strategy, and sales.

The factor models in MC MAC risk model include public equity, private equity, corporates, commodities, inflation-linked, municipals, and mortgages. The models are being constantly improved based on internal research, recent advances in the risk modeling, changing market environments, and the feedback from our clients and the users of the risk model. The factor models are developed in python and then supported by our team.

Responsibilities:

As Lead quantitative researcher on this team, you will be required to:

• research and execute on factor risk models pipeline for FDS MAC Risk solution with focus on alternatives, including private credit, direct real estate, private equity, hedge funds.

• ensure high quality risk models through use of extensive model testing and documentation

• review the current versions of the models and perform in-depth research aligned with the established market industry standards and the recent trends in both academic and practical studies

• prototype and implement in python the respective next generation of the given sub-model

• work closely with marketing and the research director to write, publish, and promote research papers and insight articles  

• transfer knowledge on the respective models to internal and external stakeholders

• provide guidance on model usage and interpretation of results

Being successful on this team is not possible without a willingness to participate and communicate.

Requirements:

• Advanced degree in Science, Technology, Engineering or Mathematics (PhD preferred)

• 7+ years of experience in quantitative risk modeling and/or quantitative portfolio management

• Solid understanding of the risk drivers in the various asset classes.

• Very strong quantitative research and software development skills using Python, C++, Java or R

• Strong leadership, communication, and interpersonal skills

• Detail-oriented with the ability to see the big picture

• Enthusiasm, strong sense of initiative and projects ownership capacity

• Willingness to travelfor client visits and speaking engagements

• Agile, action-oriented, quick thinker: you can deliver preliminary results fast by making simplifying assumptions, and take time to dive deeper if our business priorities allow and if the problem demands more scientific rigor

Highly Desired:

• Experience in building market risk models for alternative investments

• Algorithms development, optimizing and scaling up time consuming code

• Familiarity with Git, Git branching, repository management

We offer:

A place in the team developing our own world-class risk solutions where everyone’s contributions to the team and product success are visible and the product, passion and hard work is recognized and valued.

A friendly business casual atmosphere in a workplace that consists of diverse talents and working environment driven by challenges, recognition, and rewards. Nice office location and compensation package as well as flexible working hours and hybrid work model are also included.

Apply today and become part of the successful FactSet Risk Quantitative Research and Development Team!

The budgeted amount range for this position in New York City is $200,000 - $260,000

FactSet is a financial data and software company headquartered in Norwalk, CT, with offices in 48 locations worldwide. As a global financial information and analytics provider, FactSet helps the world’s best investment professionals outperform. More than 170,000 users across 7000+ clients stay ahead of global market trends, access extensive company and industry intelligence, and monitor performance with FactSet’s desktop analytics, mobile appl