If you aspire to:
- Conduct quantitative research on proprietary risk factor models for equities and other asset classes for both fundamental and quant equity long-short strategies
- Responsible for the entire model evaluation process, including factor selection/recognition, factor return estimation, covariance estimation, idiosyncratic volatility estimation etc.
- Conduct research in stress scenarios; build individual equity stress scenario evaluation models and provide full coverage for the equity long-short strategies
- Integrate multiple data sources in model building; utilize PCA approach to identify factors.
- Develop & test new risk/alpha factors and new data sources
- Work with various teams to aggregate information from a variety of sources to create detailed and accurate reports representing the risk and portfolio construction of Citadel’s investment portfolios.
- Pragmatically establish links between the numbers on reports and the impact to the business.
- Work closely with Risk Managers, Portfolio Managers and Analysts to understand and incorporate risk metrics and methodologies within the investment process.
If you’ve got an interest in:
- Long/Short Equities Risk Management
If you’ve proven you have:
- Advanced training in Statistics, Mathematics, Finance/Financial Engineering or a related field
- Strong mathematical and/or statistical modeling background
- Demonstrated empirical skill; comfortable with analysis of large datasets
- Intellectual curiosity and passion for solving investment problems through the use of technology and fundamentals
- Demonstrated interest in or knowledge of investments, including asset pricing, empirical anomalies and market micro-structure;
- Previous exposure to a quantitative role within a trading and risk modeling/management environment preferred
- Experience using statistical packages (e.g. Matlab, R) and exposure to programming & scripting languages (e.g. C/C++, Perl)