Treasury Quantitative Analyst

We are looking for a Quantitative Analyst to join our expanding Treasury Quantitative Team.

Key responsibilities include:

§ Enhance the analytics suite used by the treasury team to measure and manage capital utilization and allocation

§ Work with other team members to expand the product coverage and methodologies used for various margin calculators and treasury specific analytics tools for efficient capital deployment

§ Build analytics tools to be used for increased margin efficiency via trade allocation

§ Contribute to expanding the treasury’s quantitative framework for managing the firm’s liquidity and cash and collateral deployment

§ Maintain the calculators’ daily operation. Improve efficiency

§ Build customized reports focusing on capital utilization, allocation, and efficiency across various business units/ PMs, firm-wide

§ Perform treasury specific data analysis including sorting, structuring, and visualizing data from multiple sources of internal and third party/vendor data

§ Improve the efficiency of various treasury-specific data sources utilization.

§ Identify and automate manual processes

§ Ability to see a project/module implementation through all its phases :

Design
Prototype
Testing
Ability to implement a full working version of the model
Work with our IT team to fully implement the module in production

Qualifications and Requirements:

§ Applied mathematics, statistics or physics MS or PhD preferred

§ Knowledge of the treasury space including liquidity, capital utilization, margin, financing, collateral, and cash management

§ Working experience with optimization techniques and optimization problems

§ Hands on experience with large data sets, machine learning techniques

§ Experience with time series analysis and data fitting

§ Familiarity with risk-based margin methodologies preferred

§ Excellent hands-on programming skills in Python (including numpy, scipy, Pandas), VBA, Java Script required. Working experience with sql, data sets

§ Exposure to at least a segment of capital markets (Equities, Rates, FX, Commodities, etc) a plus

§ Detail oriented. Strong motivation and intellectual curiosity. Innovative.

§ Team player. Ability to work and liaise with several teams (front/back office, IT, etc). Strong communication skills.

With respect to NY- and CA-based applicants, the starting base pay range for this role is between $150000 and $200000 annually. The actual base pay is dependent upon several factors, including, but not limited to, relevant experience, business needs and market demands. This role may also be eligible for bonus compensation and employee benefits.