Position Description

Senior Quantitative Researcher - Risk System Lead
Location Bracebridge Capital, LLC
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The Risk System Lead will report to the Directors of Research and have several years of experience in modeling rates, credit and ABS assets, across developed and emerging markets, in a structured R&D environment.  The successful candidate will develop an in-depth understanding of the firm’s suite of asset pricing models and take ownership of all aspects of the firm’s daily risk system process.  The emphasis is on practical, hands-on quantitative research and development in a collaborative, fast-paced environment.  Additionally, the incumbent is expected to mentor junior members of the Research Group and collaborate with senior members of the Group on research initiatives.

Primary Responsibilities:

• Manage the development/enhancement of the in-house fixed income pricing platform used for portfolio and risk management, in close collaboration with Research Directors and Portfolio Managers 
• Develop a comprehensive understanding of the daily scenario-based Risk System production process, including model development, data requirements and processes, database layout, C++ analytics, and report generation
• Build accountability-based business process to monitor daily Risk System runs, utilizing Researchers and Quantitative Developers
• Investigate and explain sources of large daily sensitivity and scenario PL changes and discrepancies
• Pinpoint issues with data and/or analytics and direct junior members of the Group to resolve them
• Make changes and enhancements to the models, scenario definitions and other parts of the risk system to accommodate new state variables and sources of risk


• MS in Computational Finance/Financial Mathematics/Financial Engineering 
• 5+ years of professional experience implementing fixed income pricing models for products in rates, credit, correlation and ABS space
• Substantial experience with C++ programming of fixed income analytics in a production environment
• Familiarity with various types of fixed income instruments and valuation approaches
• Solid understanding of risk management concepts
• Proven ability to work collaboratively as well as independently

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