PGIM Fixed Income - Sr. Quantitative Risk Modeler
- Newark, NJ
PGIM Fixed Income is a global asset manager offering active solutions across all fixed income markets. The company has offices in Newark, New Jersey, London, Tokyo and Singapore. As of September 30, 2019, the firm has $838 billion of assets under management including $354 billion in institutional assets, $152 billion in retail assets, and $332 billion in proprietary assets. Over 600 institutional asset owners have entrusted PGIM Fixed Income with their assets.
Who We Look For:
In PGIM Fixed Income the Quantitative Modeling and Strategies group covers all major global public fixed income markets, we model credit, interest rate and foreign exchange risk. We work closely with PMs and traders as well as with colleagues in risk management, structured finance research, and the technology solution group.
We are looking for a Senior Quant Modeler to take ownership of the firm's proprietary risk model. Our ideal candidate can lead the conversation around modeling of investment risk, as well as build strong partnerships with the Investment Risk group. Our next hire will identify this challenge as a unique and valuable opportunity, so if this sounds interesting, then PGIM could be the place for you.
What You Will Do:
- Primary responsibility is to lead the research effort around the firm's proprietary investment risk management model.
- Partner with groups across the organization to identify new initiatives or enhancements related to the risk model .
- Effectively communicate the model details to the portfolio management organization and encourage buy-in across the enterprise.
Skills You Will Need:
- Quantitative skills and fixed income risk modelling experience are essential. A strong quantitative degree is required (MS or Ph.D. preferred).
- Significant experience in fixed income risk modeling is essential.
- Strong knowledge of statistical techniques such as covariance matrix estimation and PCA analysis is required.
- Intermediate ability with at least one of the following languages: Python, R, Java or C .While not a strict developer role, data analysis will be required.
- Strong communication skills. Ability to explain complex subjects to a general audience is essential.
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