Senior Specialist - Market Risk

This role requires a strong understanding of equities and derivatives, investment strategies, and risk management techniques to effectively analyze and communicate risk. Key responsibilities include conducting in-depth risk analysis at both the portfolio and individual manager levels, identifying and assessing potential risks, and providing detailed risk reports and insights to the Chief Investment Officer to support informed decision-making.

Main Duties and Responsibilities

Quantitative Risk Analysis

• Ensure Robust Infrastructure: Guarantee that the department’s exposure and risk aggregation infrastructure possess the necessary capabilities to support risk management and performance attribution at both the portfolio and individual manager levels.

• Conduct Quantitative Risk Analysis: Perform quantitative risk analysis on individual investments as needed, continuously monitor investments, and present comprehensive risk and performance reports on assigned investments.

• Design and Implement Risk Dashboards: Create and maintain detailed risk dashboards that provide clear, actionable insights into the risk metrics of the Equities investment portfolio.

• Evaluate Portable Alpha Strategies: Monitor and assess various portable alpha strategies from a risk perspective, which often involve the use of derivatives, to understand their associated risks and optimize portfolio performance.

• Identify Stress Scenarios: Determine the most relevant market and factor stress scenarios that could significantly impact portfolios, considering current portfolio exposure, current risks, and historical stress scenarios.

• Adhere to Guidelines: Ensure continuous compliance with Council guidelines during both the portfolio construction process and ongoing management.

• Optimize Portfolios: Execute portfolio optimizations to determine optimal weights for fund managers, aiming to achieve performance benchmarks while minimizing risk.

• Provide Independent Insights: Offer independent insights into the risk characteristics of the equity portfolio, highlighting any deviations from department investment expectations or guidelines.

• Report and Investigate Breaches: Report any breaches of ‘normal’ behavior and conduct deep dive investigations to understand the nature of the breach when required.

Development of Quantitative Tools to Enhance the Department Investment Process

• Innovate and Evolve: Independently and collaboratively work with the investment team to refine existing quantitative tools and develop new analytical approaches that enhance the investment process.

• Engage with External Partners: Liaise with external parties such as Factset and RiskMetrics and our managers to identify the latest quantitative developments and adapt external analytical tools to align with the Equity team’s requirements.

Data Collection, Verification, and Analytics

• Establish and Monitor Processes: Develop and oversee the processes for data collection, aggregation, and quantitative analytics of fund manager data.

• Complete Portfolio Representation: Ensure a comprehensive representation of Equities portfolios. Construct quantitative models for managers lacking the necessary data types for these platforms.

• Lead Quantitative Framework Development: Spearhead the development of a quantitative analytical framework to assess historical results. Stay updated on new quantitative techniques essential for understanding and interpreting fund managers’ results.

• Conduct Quantitative Research: As requested by the investment team, perform both directed and independent quantitative research to evaluate the attractiveness and characteristics of a fund manager.

• Additional Duties: Execute other related duties as assigned, ensuring comprehensive support for the department’s objectives.

Education and Experience

• A degree in a quantitative discipline is preferred e.g., statistical finance, engineering, or mathematical finance.

• A Master’s degree or professional certification (e.g., CFA, FRM) is preferred.

• Relevant post-graduate professional experience in a specialist quantitative role. This experience should include involvement in model design within organizations such as asset managers, hedge funds, sovereign wealth funds (SWF), and risk vendors.

• Proven track record of developing and implementing quantitative models, showcasing an understanding of the complexities and nuances of financial markets and risk management.