Duties and responsibilities include, but are not limited 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
- Contribute to the development of risk framework and guidelines.
- 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.
- 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
- Analyze and understand the information included on risk reports in order to effectively communicate with recipients of the reports, respond to questions and conduct risk investigation
- Monitor risk exposures against guidelines and proactively engage with the business to avoid and resolve any possible exceedances
- Respond to inquiries from various Citadel constituents including Investor Relations, Legal & Compliance, Portfolio Committee members, Marketing, as well as Risk Managers and Portfolio Managers
- 2 to 3 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
- 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, and trustworthy and be able to add efficiency and value to the process and analysis through the use of programming skills and innovative thinking. 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.