Review Vacancy
TitleFixed Income - Quantitative Analyst (Special Investment Officer)
Occupational CategoryFinancial, Accounting, Auditing
Bargaining UnitM/C - Management / Confidential (Unrepresented)
Salary RangeFrom $140000 to $150000 Annually
Minimum Qualifications Bachelor’s degree and five (5) years of experience as a capital markets quantitative analyst (buy-side or sell-side). Preference may be given to candidates who have obtained their MBA, Masters’ level degree in finance or a quantitative discipline, or Chartered Financial Analyst (CFA) credential (CFA study at any level a plus). Candidates must be New York State residents or be willing to relocate.
Seeking candidate with the following knowledge, skills and abilities:
• Experience with portfolio management software;
• Knowledge of fixed income investing and portfolio construction;
• Strong financial modeling skills;
• Prior background in fixed income analytics and equity market experience;
• 3 to 5 years background and knowledge of analytic systems such as Barclay’s POINT or other similar systems;
• Competent programming skills (VBA) and proficiency in security modeling;
• Highly proficient in MS office; and
• Good mathematical understanding of debt markets.
Duties Description The Quantitative Analyst will be an integral part of NYSIF’s Investment Department, which manages over $15 billion in multi asset class portfolios. The Analyst will be responsible for enhancing and developing analytics used by portfolio management and risk management.
Duties will include but not be limited to:
• Quantifies risk exposures for all NYSIF portfolios that include USD Credit, Equity, Mortgage-backed Securities, Collateralized Mortgage Obligations, Commercial Mortgage-backed Securities, Asset-backed Securities, etc.;
• Runs risk systems (such as POINT, Yield Book, Quantal Risk Estimates, FINCAD, Moody’s KMV) and compiles exposure and risk related data;
• Works closely with NYSIF’s Chief Risk Officer and other investment staff including portfolio managers;
• Regularly participates in portfolio optimization, construction, and scenario analysis;
• Regularly measures and monitors portfolio level risk metrics such as VaR, TE, historical performance, ALM analysis and presenting pertinent analysis;
• Assists in developing credit limits using quantitative techniques to assess default risk;
• Participates in weekly portfolio strategy, credit review and risk management meetings;
• Generates internal and external risk reports for investment department, executive staff, and the NYSIF’s Board of Commissioners;
• Performs quantitative and ad-hoc analysis to improve investment process;
• Assists in developing price verification metrics to ensure all positions are properly marked;
• Liaise with external consultants to ascertain and review asset allocation studies;
• Review and produce performance attribution for internally managed portfolios; and
• Integrates risk metrics of internally and externally managed portfolios.
Additional Comments The New York State Insurance Fund (“NYSIF” or the “Fund”) is a self supporting state fund that provides workers’ compensation and disability benefits insurance in New York. With written premium of over $2 billion, NYSIF is the largest workers’ compensation insurance carrier in New York, and the sixth largest carrier in the country.
Some positions may require additional credentials or a background check to verify your identity.