The role primarily focuses on Fixed Income & FX, and over time will provide exposure to other asset classes covered by Citadel such as Equities, Credit, and Commodities.
Duties and responsibilities include, but are not limited to:
- Run and design risk reports to effectively monitor and assist with the Fixed Income portfolio construction.
- Gather information from a variety of sources due to instrument diversity and perform quality control on data and reports generated.
- Contribute to the development of risk framework and guidelines.
- Onboard new products, model upgrades and mandate expansions.
- Present an accurate, synthetic and exhaustive view of portfolio exposures
- Analyze marginal impacts of risk factors and new strategies
- Track the various strategies profitability and dynamics. Perform PnL attribution.
- Respond to inquiries from Risk Managers and Portfolio Managers as well as various Citadel constituents including Investor Relations, Legal & Compliance, Portfolio Committee members
- 3 to 5 years in Risk management, modeling or QR. Trading experience with quantitative approach would also be considered
- Strong experience in Fixed Income
- Market and financial products knowledge including Interest Rate and FX derivatives (such as interest rates and FX Options)
- Knowledge of risk and statistics (SD, regression analysis) VAR, stress tests, tail exposure
- Exceptional attention to detail. (Must be patient and thoughtful when creating and reviewing work.)
- Thoughtful, precise, clear and accurate written and oral communication skills
- Highly curious and analytical…..always seeking a deeper and more precise understanding of situations and information
- Advanced Excel and PowerPoint skills.
- Programming languages preferred (Python, Perl, R, Mathlab). Comfortable with database, SQL.
The successful candidate will be a mature self-starter who has demonstrated the ability to function independently in a fast- paced, dynamic and demanding environment. This person needs to be able to resolve conflict within a short period of time. This person will be intellectually curious, intuitive, trustworthy, and have the highest ethical standards. In addition, he/she will be effective addressing a number of internal and external audiences in a professional manner. This person will add value by working on a number of simultaneous tasks with minimal supervision and exemplary follow-through.