What are the responsibilities and job description for the Quantitative Analyst position at Parallax Volatility Advisers, LP?
Reporting Relationship: Portfolio Manager
Summary of Role: San Francisco-based hedge fund seeks full-time employee for the position of quantitative analyst and model developer to support capital structure relative value trading business. This is a front-office trading desk position which allows candidate to directly work with experienced traders/portfolio managers, trading platform, risk system, and ad hoc trading analysis. This is an entry-level position open to recent graduated students with 1-5 years of experience, industry internships count as experience.
Specific Responsibilities Include:
- Building and maintaining risk neutral pricing models for options, corporate bonds, and CDS.
- Using time series models such as VARMA, GARCH, VECM, and copula or machine learning technique models such as RNN, GRU, and LSTM to simulate high-dimensional multivariate time series of capital markets.
- Developing portfolio optimization framework including mean-variance, VaR, CVaR, skewness, kurtosis for single or multi-period portfolio optimization.
- Maintaining in-house R package and SQL database.
- Calculating Greeks, CS01, DV01 for market risk management.
- Reading latest cutting-edge academic papers for better models and strategies.
Qualifications:
- Master’s degree in quantitative finance fields from well-known programs, such as financial engineering, computational finance, and financial mathematic
- Willingness to work market hours
Skills/Knowledge:
- Strong quantitative skills including mathematics and coding skills.
- Must be fluent to work with academic papers independently. Having published peer-review papers in quant finance field is highly desirable.
- Fluent, or strong interest to learn, R language and SQL database. Strong C and Python skills are highly desirable.
- Self-starter with strong self-study ability and problem-solving skills.
- Good time management skills and be able to handle multiple projects simultaneously.
Parallax offers extremely competitive compensation and benefits, including (not limited to): 100% paid health insurance, 401(k) plan, Flexible Time Off, cell/internet reimbursement and continuing education opportunities.
Parallax is an equal opportunity employer.
Please no calls or recruiters.