OppenheimerFunds is seeking a quantitative analyst within the fixed income risk department. The ideal candidate has an advanced degree in a quantitative discipline and 5 years of experience in portfolio management or risk management.
This role will involve significant collaboration with the portfolio management and trading teams. The candidate must possess an ability to take technical innovations in financial engineering and make practical, understandable applications for use by the risk management and portfolio management groups. Strong communication skills will be needed to interpret and explain the output of our models to a broader audience.
Responsibilities also include:
• Support the fixed income investment teams by providing effective and relevant analysis.
• Maintain and enhance the measurement and reporting of risk and performance – both quantitative and qualitative.
• Generate appropriate analysis to ensure that the drivers of fund performance are understood.
• Enhance the workflow efficiency of the risk management team through internal coding and software development.
• Demonstrated understanding of the statistical and theoretical issues surrounding the joint measurement and estimation of volatilities, correlations, tail risks and marginal/component analysis of variance.
• Demonstrated record of designing, estimating and implementing risk-related statistical models.
• Demonstrated understanding of market-relevant measures of risk.
• Advanced knowledge of the fixed income markets and their associated derivative instruments; this includes cash bonds, securitized debt, credit default swaps, and options on rates, currencies and variance.
• Experience with a 3rd party risk system such as RiskMetrics a plus.
• Significant programming experience in languages such as SQL, R, Matlab, VBA, C++, Java, and Python.