Financial Quantitative Analyst

We are looking for a Financial Quantitative Analyst who meets all of the following qualifications:

 

  • Education: Bachelor’s or Master’s degree in Finance or Financial Mathematics is required
  • Certification: Passed the Chartered Financial Analyst (CFA) Level III exam and holds FINRA Series 3 and 65 licenses
  • Work experience: have at least one year of work experience in investment management and six months of work experience in regulatory compliance
  • Proficient in MS Office Suite (Excel, Word, Power Point etc.)
  • Strong verbal and written communication and presentation skills
  • Independent research and problem solving skills

 

The Financial Quantitative Analyst will be responsible for the following job duties:

 

  • Valuing options, swaps, forwards, futures, and other complex financial derivatives by utilizing the Black-Scholes formula;
  • Conducting credit analysis to evaluate VaR (value at risk), counterparty risk, default risk and recovery rate;
  • Analyzing companies in Chapter 11 bankruptcies to identify attractive distressed investment opportunities;
  • Monitoring times series data to identify patterns including autocorrelation and heteroscedasticity;
  • Applying Monte Carlo methods and variance-covariance models to predict the probability distribution of investment outcomes;
  • Studying the stochastic processes and put-call parity and their applications to stock market, fixed-income market, and commodities valuations;
  • Estimating the intrinsic values of interest rate and credit derivatives to enhance risk measurement;
  • Optimizing portfolio performance by identifying mispriced securities and adjusting tactical portfolio allocation by asset classes;

Developing analytical capabilities and model algorithms using advanced statistical, quantitative, and econometric techniques, such as Amibroker to develop MA (moving average) and MACD (moving average convergence divergence) based signals to detect changes in the direction of the market before they occur;

  • Providing professional technical analysis reports as well as application and analytical support to portfolio managers on momentum strategies;
  • Developing and enhancing financial analytical systems and tools to address complex issues;
    • Using Bloomberg Terminal to screen potential fixed income securities with proper rating, duration, liquidity, and yield to maturity;
    • Utilizing tools to address portfolio construction and optimization, performance measurement, attribution, profit and loss measurement, and pricing models;
  • Applying mathematical and statistical techniques to analyze implied volatility and dividend yield to determine the risk-reward ratio;
    • Addressing issues such as derivative valuation, securities trading, risk management, and financial market regulation;
    • Selling covered calls and out-of-the-money puts to generate premium income while offsetting downside losses;
  • Conducting research on financial products and analytics to determine their adequate liquidity and worth;
    • Utilizing resources to conduct research, including Bloomberg Terminal, the companies’ quarterly 10-K and annual 10-Q filings, as well as earnings conference calls;
    • Making professional recommendations to the managerial personnel in decision-making process, including to the department heads and President of the company;
  • Conducting model validation and applying independent algorithms to help verify the results of analytical systems;
    • Back-testing algorithms in spot cash markets and future markets to verify the results;
    • Utilizing the systems of Amibroker and Bloomberg Terminal for data and analysis;
  • Compiling market research reports of and creating a mosaic of market consensus on future path of interest rates;
  • Attending financial industry regulatory workshops to determine the need for new or improved internal risk management system;
  • Identifying, tracking, and maintaining metrics for contrarian indicators to identify trading opportunities.

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