We are seeking a Quantitative Researcher specializing in derivative instruments to join our quantitative team. The successful candidate will combine expertise in quantitative finance, statistical methods, and programming to strengthen our investment decision-making process and develop systematic trading strategies. The role covers research, model development, risk analysis, and the building of analytical tools.
Responsibilities:
1. Quantitative Research and Strategy Development
- Review academic and applied literature on quantitative finance, derivatives, and trading strategies, and assess the feasibility of implementing new methods in live market conditions.
- Design, develop, and evaluate quantitative models and trading strategies based on options and other derivative instruments.
- Conduct backtesting, sensitivity analysis, and robustness testing, accounting for transaction costs, liquidity, and execution constraints.
- Analyze market data to extract indicators and signals that support investment decisions.
2. Portfolio Risk Analysis and Reporting
- Calculate, monitor, and analyze risk metrics for derivatives portfolios, tailored to the type of strategy and trading instrument.
- Analyze market risk, volatility risk, directional risk, liquidity risk, and risk arising from changes in underlying asset prices.
- Monitor option Greeks (Delta, Gamma, Vega, Theta) and portfolio exposure to market, volatility, and liquidity risks.
- Calculate and analyze VaR, CVaR, and stress scenarios in line with risk management requirements.
3. Data Analysis and Analytical Tool Development
- Extract, clean, process, and analyze financial and trading data, and develop dashboards for monitoring performance and risk.
- Automate calculations and reporting processes.
- Document models, assumptions, and research results for team review and use.
