Responsibilities:
- Build out Barra-based proprietary portfolio-level risk and optimization infrastructure.
- Key features include risk modeling, exposure measurement, risk monitoring infrastructure for systematic equities trading business line.
- Build attribution framework for systematic trading signals.
- Build data pipelines required for extraction/transformation/loading of data from Barra, Bloomberg and other key data sources using SQL and other big data analysis techniques.
- Manage the ongoing maintenance/expansion of risk tools created by supervising an (eventual) team of Junior Equity Developers and Data Scientists.
Qualifications/Skills:
- Minimum 5 years' experience of equity-based software development, ideally at a multi-manager hedge fund or investment bank.
- Broad and deep understanding of equities markets, factor models and portfolio construction; experience working with Barra factor model data.
- Expert-level programming skillset in one or more languages (Python, SQL, etc.).
- Experience with Mosek or similar optimizer.
