Equity Cash / Portfolio Quant
Very Attractive
Based: London Type: Permanent Start date: Flexible Date posted: 17/03/2010
Top tier firm is expanding its equity business globally and is in of a quant that has experience with building factor models, with alpha generation strategies and momentum indicators.
Knowledge of order book models and impact analysis for block trades etc is also very important.
They need to have around 4/5yrs+ experience (around VP level).
This is reporting to the Global Head of Equity Quant’s.
This would be as a quant on the CRB desk - the centralized risk desk which is responsible for aggregating and offloading the cash and derivatives risk for their London equity business. This would involve developing models/risks/procedures for squeezing as much value as possible out of their flows and their managed positions. It is likely to be nearer medium frequency than high frequency but, as this could also involve block disposal, it could be high frequency.
Looking for a VP level person to play the lead in the development of the analytics for the cash side of the business here in London. The primary focus of this role is support for the Centralized Risk Desk. This desk is responsible for managing, offseting and monetizing the flow generated by the London trading floor both cash and derivatives. Projects of particular significance for this role are factor modelling for equity long/short portfolios, development and integration of impact models into our TotalTouch trading platform, creation of a trade re-simulation environment for efficient back-testing of portfolio strategies and development of regime-identification models for daily/weekly rebalancing models. The P&L generation comes from both offsetting client risk and strategies run on a prop basis.
For further information please contact John Meadowcroft on 020 7780 6700 / 020 7025 0420, or alternatively via e-mail John.Meadowcroft@AnsonMcCade.Com
Reference: AMC*JM/EqCasQua . To apply for this vacancy: email John Meadowcroft