Review Vacancy
Occupational CategoryOther Professional Careers
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 worked on the buy-side, 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, three (3) to five (5) years background and knowledge of analytic systems such as Barclay’s POINT, Blackrock’s Aladdin or other similar systems is critical;
Strong financial modeling skills;
Prior background in fixed income analytics and/or equity market experience;
Competent programming skills (VBA) and proficiency in security modeling;
Highly proficient in MS office; and
Solid mathematical understanding of debt market instruments
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: Quantify risk exposures for all NYSIF portfolios that include USD Credit, Equity, Collateralized Mortgage Obligations, Commercial Mortgage-backed Securities, Asset-backed Securities, etc.; Run risk systems (such as POINT, Aladdin, Yield Book, Quantal Risk Estimates, FINCAD, Moody’s KMV) and compile exposure and risk related data; Works closely with 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 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 Integrate risk metrics of internally and externally managed portfolios
Additional Comments Please submit a resume if interested in this position.
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