Advancing the Field of Quantitative Finance
formerly the IAFE

Job Board


Post-Doctoral Research Scientist

Columbia University

New York, NY

(posted 02/08/2017)

Job Description
Columbia University Post-Doctoral Research Scientist in Machine Learning in Wealth Management

The FDT Center for Intelligent Asset Management at the Department of Industrial Engineering and Operations Research, Columbia University in New York City, invites applications for a Post-Doctoral Research Scientist position to research novel approaches for applying machine techniques to financial wealth management.

The Center was established in January 2017 with a generous gift from Financial Data Technologies, a Hong Kong based FinTech company. The research of the Center will focus on the exploration of theoretical underpinnings and modeling strategies for wealth management through the introduction of big data analytical techniques. The Center's research will combine modern portfolio theory, behavioral finance, machine learning and data science to study core problems including optimal asset allocation and risk management; and the research of the Center sits at the crossroad of financial engineering, computer science, statistics, and finance, aiming at providing innovative and intelligent investment solutions.


Qualifications
The main research objective of the holder of this position is to apply machine learning techniques, including supervised learning and reinforcement learning, to improve the existing, known asset allocation strategies and developed new, evolutionally superior strategies. Candidates must have a PhD degree in Computer Science, Control Theory, Operations Research, or Applied Mathematics, with demonstrated research experience in machine learning. Additionally, candidates familiar with financial engineering, stochastic control, optimization or statistics are highly preferred. Candidates are expected to have an outstanding research record commensurate with their level of experience.

Other Information
The candidate is expected to work under the supervision of Professor Xunyu Zhou, the Director of the Center. He or she will also benefit from interactions with the faculty, practitioners and students at the Center as well as those from the IEOR Department, Business School, Statistics Department, and Computer Science Department. This is a one-year position initially with possibility of renewal for two more years depending on the progress achieved. There is also an opportunity to be involved in a start-up company arising from the research of the Center, during or after the tenure of the position.

Organization Description
Applicants can consult www.ieor.columbia.edu for more information about the department.

Columbia University is an Equal Opportunity/Affirmative Action employer – Race/Gender/Disability/Veteran.


How to Apply
Candidates should apply online at:

academicjobs.columbia.edu/applicants/Central?quickFind=64047 and should submit electronically the following: curriculum-vitae, a research statement, a representative research paper, and a list of three references submitted electronically. The position will remain open until filled and applications will be reviewed as they are submitted.


Last Day to Apply
Open Until Filled

Managing Director, Head of Model Risk Mgmt

TIAA

NY, NY

(posted 02/08/2017)

Job Description
Responsible for providing oversight and direction for TIAA’s Model Risk Management program including maintaining and implementing the company’s Model Risk Management policies. This will involve creating, maintaining and enhancing a set of processes and procedures – as the program evolves – around assessing, managing and reporting of model risks and working closely with the various model development and usage communities across the organization to ensure that the model risks are identified and treated effectively. This includes thinking creatively about program implementation and working with business partners to socialize program changes to secure buy-in. It is imperative that the candidate have the skillsets required to influence and deepen relationships across the business areas to drive a holistic Model Risk Program. Another important component of the role will be providing an effective challenge process. Therefore, suitable candidates need to hold an advanced degree in a highly quantitative area involving complex math, and be experienced quantitative modelers with in-depth knowledge of model design, building, testing and validation processes. These leadership skills are also critical to ensure that the team is prioritizing the most important work and operating in the most efficient way possible as the program shifts from a build to an implementation mode. The position will report into the Chief Risk Officer for Framework, Governance and Corporate Center Risk.

KEY RESPONSIBILITIES AND DUTIES:
•Own the ongoing evolution and support of the Model Risk Management Policy and associated Standard Operating Procedures (SOP).
•Drive implementation of and adherence to the Policy and associated SOPs across the Company.
•As part of implementing the Model Risk Management Policy, drive the development and implementation of a Model Development Life-cycle to ensure that new models and enhancements to existing models are undertaken in a controlled fashion.
•Lead a team of qualified staff in the prioritization, scheduling, and execution of model reviews/validations/re-testing as required based on their risk level and Policy requirements; the team is also mandated with providing an effective independent challenge to the robustness and effectiveness of the models.
•Build and maintain relationships with business areas and their respective Chief Risk Officers (CROs) to assist in driving the resolution of identified issues, and ensuring that residual risk is maintained within the risk appetite of the Company.
•Engage with model owners and key stakeholders to develop creative ways of reinventing and right sizing the Model Risk Program as it matures.
•Chair and run the Model Risk Management Working Group (MRMWG) – a working group of the Operational Risk Management Committee (ORMC) – to fulfill its role as set out in the Model Risk Management Policy.
•Escalate and report the status of Model Risks to the appropriate risk management governance committee on a periodic basis and as required.
•Liaise with regulators in relation to the Company’s management of Model Risk.



Qualifications
Required Skills:
•Advanced Degree in a quantitative discipline is required; PhD is preferred.
•10 + years of financial services experience.
•Extensive financial quantitative modeling skills and experience.
•Understanding of Portfolio Management and Actuarial science.
•Previous experience managing teams.

Desired Skills:
•Knowledge of operational processes around models (e.g. sourcing of common model inputs).
•A self-starter with excellent interpersonal, organization, and leadership skills.
•A highly collaborative business partner who can effectively manage and influence relationships that are widely dispersed both functionally and geographically.
•Ability to understand and influence to integrate the Model Risk Program across all business areas.
•Ability to adapt to and initiate change and guide the team as focus shifts to align with company goals and objectives.




Other Information
Equal Employment Opportunity is not just the law, it’s our commitment. Read more about the Equal Employment Opportunity Law.


If you need assistance applying due to being visually or hearing impaired, please email Careers Help.

We are an Equal Opportunity/Affirmative Action Employer. We will consider all qualified applicants for employment regardless of age, race, color, national origin, sex, religion, veteran status, disability, sexual orientation, gender identity, or any other legally protected status.


*©2016 Teachers Insurance and Annuity Association of America (TIAA), 730 Third Avenue, New York, NY 10017 C23921


Organization Description
Since 1918, it has been TIAA’s mission to serve, our ability to perform and the values we embrace that make us a different kind of financial services organization. We’re dedicated to serving the financial needs of those in the academic, medical, cultural, governmental and research fields, and committed to helping make lifetime financial well-being possible for them.


By building a culture that allows all employees to contribute their unique talents and skills, we’re able to provide our customers with fresh ideas and distinct perspectives to help them achieve their goals. We believe a diverse and inclusive workforce is one of our greatest strengths and a key measure of our success*.


For more information about TIAA, visit our website.


How to Apply
http://careers.tiaa.org/job/6866532/managing-director-head-of-model-risk-mgmt-new-york-ny/


Last Day to Apply
TBD

Quantitative Analyst

Wellington Management Company

Boston, MA

(posted 02/01/2017)

Job Description

THE POSITION
The Quantitative Investment Group is seeking to add a Quantitative Analyst to its team. The group currently manages over $6 billion in equity and derivative assets across global markets in both long-only and absolute return strategies.

The Analyst will contribute to the research and development of the group’s increasingly diverse suite of alpha sources. The R&D in the group involves both bottom-up stock selection using security level information, and more top-down, thematic ideas, using economic series and data from other asset classes. Risk modeling and prediction is also a focus. The research is collaborative, rigorous and data intensive. Typical tools used in the research process include time-series and cross-sectional statistics, econometrics, optimization techniques, and stochastic simulation.

As the Analyst gains an understanding of the alpha signals, risk management, and portfolio construction approaches of the Quantitative Investment Group, he/she will begin to lead some research initiatives and take a more active role in portfolio management.


Qualifications
QUALIFICATIONS
• Advanced degree in mathematics, computer science, statistics or related fields
• Passion and experience with statistical inference using computer-age techniques / data science / machine learning
• Fluency with C++, R, or similar languages
• Experience with higher turnover signals and less traditional data/factors preferred



Other Information
None

Organization Description
THE COMPANY
Tracing our roots to 1928, Wellington Management is one of the world’s largest independent investment management firms. With US$987 billion in assets under management as of 30 September 2016, we serve as a trusted adviser to institutional clients and mutual fund sponsors in over 50 countries. Our innovative investment solutions are built on the strength of proprietary, independent research and span nearly all segments of the global capital markets, including equity, fixed income, multi-asset, and alternative strategies. As a private partnership whose sole business is investment management, our long-term views and interests are aligned with those of our clients. We are committed to attracting a talented and diverse workforce, and to fostering an open, collaborative culture of inclusivity because we believe multiple perspectives lead to more informed investment and business decisions. As an Equal Opportunity Employer, we welcome people with diverse life experiences, fresh ideas, and specialized subject-matter expertise.


How to Apply
Please apply through our website:

https://wellington.wd5.myworkdayjobs.com/External/job/Boston/Quantitative-Analyst_R76103-1


Last Day to Apply
None

Global Multi-Asset Strategies Analyst

Wellington Management Company

Boston, MA

(posted 02/01/2017)

Job Description
THE POSITION
The Global Multi-Asset Strategies (GMAS) group manages approximately $25 billion in multi-asset, absolute return, income and unconstrained portfolios. The GMAS group is also responsible for delivering bespoke, customized investment solutions and research, and assisting clients with long-term asset allocation themes, strategies and policy issues. Within this team, we are seeking to recruit an experienced Multi-Asset Analyst to be based in our Boston office. This individual will be responsible for contributing actionable investment ideas across a number of asset classes both directly and through active and passive strategies. The ideal candidate will invest in public securities, thematic beta baskets, ETF’s, futures, swaps and Wellington-managed investment strategies. In addition, they will be able to access ideas from across the firm and execute them in a number of ways.

RESPONSIBILITIES
The successful candidate will be responsible for:

• Researching and designing a number of systematic screens and quantitative models across the multi-asset landscape. This work will span a range of fixed income asset classes as well as equities, commodities, regional and country allocations
• Building reporting tools and diagnostics for PMs to evaluate large amounts of trade ideas and effectiveness of models
• Establishing strong relationships with the firm’s fundamental and quantitative equity, fixed income and macro analysts and portfolio managers to identify investment opportunities for the team’s portfolio and appropriately leverage the firm’s resources
• Contributing to the strong investment culture of the team and the firm; and
• Driving strong investment results on behalf of clients


Qualifications
QUALIFICATIONS
The successful candidate should have the following attributes and qualifications:

• A minimum of 5-10 years of experience in the investment management industry with a proven research process across multi asset/global macro/equity/fixed income
• Significant expertise across multi asset investing inclusive of quantitative programming and modeling skills in MATLAB/Python etc.


Other Information
None

Organization Description
THE COMPANY
Tracing our roots to 1928, Wellington Management is one of the world’s largest independent investment management firms. With US$987 billion in assets under management as of 30 September 2016, we serve as a trusted adviser to institutional clients and mutual fund sponsors in over 50 countries. Our innovative investment solutions are built on the strength of proprietary, independent research and span nearly all segments of the global capital markets, including equity, fixed income, multi-asset, and alternative strategies. As a private partnership whose sole business is investment management, our long-term views and interests are aligned with those of our clients. We are committed to attracting a talented and diverse workforce, and to fostering an open, collaborative culture of inclusivity because we believe multiple perspectives lead to more informed investment and business decisions. As an Equal Opportunity Employer, we welcome people with diverse life experiences, fresh ideas, and specialized subject-matter expertise.


How to Apply
Please apply through our website:

https://wellington.wd5.myworkdayjobs.com/External/job/Boston/Global-Multi-Asset-Strategies-Analyst_R76121


Last Day to Apply
None

Model Risk Consultant, C&I Portfolio

Oakwood Search (Posting on behalf of Chicago Based National Bank)

Chicago, IL

(posted 01/17/2017)

Job Description
Our client is looking for a polished and moderately experienced quant to be a Sr Consultant (VP level) for the Corporate and Institutional (C&I) credit risk modeling team. This team has responsibility for modeling activities across C&I stress testing needs for CCAR. It will include analytics activities supporting capital adequacy including model development, model execution, model maintenance, model monitoring and outcomes analysis.

Developing, maintaining and executing statistical models related to the C&I credit segments in support of the quarterly capital adequacy assessment process
Managing and executing the ongoing model performance monitoring of credit stress testing models
Ensuring quality control of the model development process
Working closely with the Model Validation, Model Governance functions and Audit function to address all modeling validation findings or Audit issues by deadline
Interacting with the Data Analytics team to request and ensure high quality data is utilized in the model development process
Communicate regularly with key business partners, management, and oversight committees and regulators by acting as a subject matter expert

Qualifications
4+ years of experience developing and managing statistical models in banking or related industry
3+ years of experience developing and managing CCAR C&I PD and LGD models including rating transition model at a Large and Complex bank
3+ years of experience in CCAR regulatory examination to present quantitative model results to examiners and address regulatory questions and findings
Experience in Vendor stress testing models for C&I such as Credit Edge is a plus
Experience in Vendor Data such as S&P CreditPro and Moodys DRD
Excellent analytical skills that include statistical analysis, model development and execution and attention to detail
Excellent experience using statistical programming languages such as SAS, SQL and R
Excellent oral and written communication skills, including presentation skills, the ability to create concise model documentation, as well as the ability to critically review and edit documents; a writing sample may be requested
Ability to effectively communicate with peers, senior management and overseas partners
Ability to work under pressure and organize, manage and prioritize multiple deliverables
Advanced degree in statistics or equivalent quantitative field.


Other Information
Must be willing to relocate to Chicago. Assistance will be provided. Can accept H1B visa transfers.

Organization Description
Our client has worked hard building our legacy of outstanding service, expertise and integrity. They have national as well as international locations. Because of this solid reputation they serve clients such as sovereign wealth funds and UHNW, to the most-successful hedge funds and corporate brands in the nation.


How to Apply
Go to www.oakwoodsearch.com and click \"about\" and then \"current openings\". Find the appropriate position then \"apply\"



Last Day to Apply
2.15.17

Senior Model Validation Analyst

Hancock Whitney Bank

New Orleans, LA

(posted 01/12/2017)

Job Description
JOB SUMMARY:

Primary function is to perform intermediate to advanced validation methodologies, tasks, and quantitative analysis throughout the model lifecycle across for models used by lines of business in accordance with regulatory guidelines (ex: FED SR11-07)



ESSENTIAL DUTIES & RESPONSIBILITIES:

Updates model inventory of all models utilized by company across multiple lines of business including credit, interest rate, risk ratings, economic capital, capital market valuation, credit risk parameters, pricing & profitability, loan loss reserves, and measurement of other risk types including operational and market risk.
Coordinates and conducts model validation processes and monitors adherence to internal policies, procedures and regulatory guidelines.
Collaborates and interacts with management, model owners/users throughout the company and with third-party model validation providers.
Understands how models are used in the business decision making process and material impacts to financial statements and risk measurement.
Understands model development and validation methodologies, policies, procedures & processes.
Recommends model documentation revisions as needed to model risk program documentation.
Coordinates team of model validators and performs the following tasks: - review model documentation & governance - analyze and challenge data used in model development to ensure relevance & appropriateness for model use - understand model development and validation methodologies - develop and execute model test plans - write/modify validation scripts - analyze model weaknesses - benchmark models to external vendor models - assess model risks and limitations to make model validation recommendations
Assesses model risks, model limitations, validation issues, etc. to make model validation recommendations
Document and report model validation results, issues, problems to manager of Model Validation Group
Interacts with model owners/users to address model issues and remediation actions.
Review model validations performed by junior analysts and provides coaching/mentoring
All other duties/special projects as assigned.
Incumbent is required to comply with all applicable federal, state, and local banking and industry related laws and regulations including but not limited to the Bank Secrecy Act.
Attends Model Governance Committee meetings
Supports Model Validation Group manager in reporting and responding to Federal Reserve, FDIC, and other pertinenet regulatory bodies pertaining to enterprise risk management audits and related activities.
Assists unit manager in reviewing contracts and making recommendations related to engagement of model validation vendors for professional services
Conducts periodic model risk assessments and takes appropriate action(s) as required.
Acts as a consultant to affiliates on matters pertaining to model risk management
Performs other related job duties and special projects as assigned.
Incumbent is required to comply with all applicable federal, state and local banking and industry related laws and regulations


Qualifications
Masters Degree is required in finance, economics, statistics or other quantitative fields; Ph. D. preferred
At least 4-6 years of experience is required; 8-10 years preferred
Specific experience is required with model development/analytical experience with commercial or financial institutions
Project management skills;
Knowledge of financial risk models,
Capital ratio models,
Stress-testing models
Designation not required but preferred: - Professional Risk Managers International Association (PRM); - Certified Risk & Compliance Management Professional (CRCMP); - Associate in Risk Management (ARM or ARM-E)
ESSENTIAL PHYSICAL & MENTAL REQUIREMENTS:

Ability to work under stress and meet deadlines
Ability to operate a keyboard if required to perform the essential job functions
Ability to read and interpret a document if required to perform the essential job functions
Ability to travel if required to perform the essential job functions Ability to lift/move/carry approximately 25 pounds if required to perform the essential job functions. If the employee is unable to lift/move/carry this weight and can be accommodated without causing the department/division an undue hardship then the employee must be accommodated; hence omitting lifting/moving/carrying as a physical requirement.


Other Information

Equal Opportunity/Affirmative Action Employers. All qualified applicants will receive consideration for employment without regard to race, color, religious beliefs, national origin, ancestry, citizenship, sex, gender, sexual orientation, gender identity, marital status, age, physical or mental disability or history of disability, genetic information, status as a protected veteran, disabled veteran, or other protected characteristics as required by federal, state and local laws.


Organization Description
Hancock Holding Company family of companies include: Whitney Bank (doing business as Hancock Bank in Mississippi, Alabama and Florida and Whitney Bank in Louisiana and Texas), Hancock Investment Services, Inc., Whitney Investment Services, Inc., Hancock Insurance Agency, Whitney Insurance Agency and Harrison Finance Company.

How to Apply
www.hancockwhitney.com

Last Day to Apply
Open

Quantitative Analyst/Associate - Portfolio Analytics

USAA Real Estate Company

New York, NY

(posted 12/12/2016)

Job Description
In a strategic partnership with USAA Real Estate Company, Square Mile Capital Management, LLC (\"Square Mile\") is a private investment firm based in New York that focuses on real estate and real estate-related opportunities, including both debt and equity investments on behalf of select institutional and private investors. Square Mile takes a value oriented approach to its investment activities, with an emphasis on opportunities to acquire or capitalize assets or enterprises that are undervalued, overlooked, complex or mispriced.

Job Purpose:

As an integral member of the Portfolio Analytics team, the Quantitative Analyst/Associate will work closely with RealCo\'s and Square Mile\'s portfolio management, asset management, investor relations, accounting and investment teams, with a primary focus initially on the Square Mile series of credit funds. This position will be responsible for creating and maintaining various investment and fund-level models, incorporating best practices across the RealCo and Square Mile platform.

Essential Duties:
1. Create, enhance, and maintain detailed fund models used for capturing historical investment and fund-level performance, projecting forward-looking operational performance, ensuring compliance with Fund investment guidelines, and calculating investment and fund-level waterfalls and metrics used in the investment decision making process.
2. Coordinate with Asset Management, Investments, and loan servicing teams for periodic updates on investment-level cash flow projections, future funding obligations, and expected loan extensions or payoffs.
3. Provide new investment impact analysis (accretion/dilution of projected fund returns, distribution yield, etc.) to portfolio management team during the loan underwriting process, and advise Portfolio Management team with respect to financing options via A-note sales or warehouse financing.
4. Create, enhance, and maintain fund-specific dashboards to summarize current portfolio positioning, historical performance, capacity for additional investment, and forward-looking production, operational and performance projections.
5. Assist with investment modeling for complex structured transactions.
6. Assist with cash management process, short-term borrowings, warehouse/subscription line financing, capital calls, and distributions.
7. Maintain upcoming sources and uses schedule of cash activity to ensure appropriate liquidity is maintained while keeping cash balances to a minimum. Keep portfolio management up to date on cash position and upcoming sources and uses of capital.
8. Closely interact with and assist RealCo\'s global investors group and the performance attribution and reporting teams in responding to ad-hoc client requests.
9. Evaluate and administer system-based solutions for deal pipeline tracking, data management, and other business requirements.
10. Assist with creation of department policies, procedures, and process documentation.


At USAA Real Estate Company our employees enjoy generous benefits packages including comprehensive medical, dental and vision plans, 401k, USAA Membership eligibility, educational and professional designation assistance, business casual dress attire and much more! https://www.usrealco.com/careers/benefits.aspx Qualified applicants must successfully complete a pre-employment background and drug screen. The above description reflects the details considered necessary to describe the principal functions of the job and should not be construed as a detailed description of all the work requirements that may be performed in the job.

USAA Real Estate Company is an Equal Opportunity and Affirmative Action Employer of Females, Minorities, Veterans and Disabled.

Qualifications
Minimum Qualifications:

3+ years of financial modeling of private equity fund waterfalls and structured products.

Strong quantitative analytics skills. Must have strong communication and interpersonal skills.

Bachelors degree or higher education in Financial Engineering, Statistics, Mathematics, Finance, Economics or related field.

Extensive knowledge of financial markets, structured products, and economics.

Experience with commercial real estate investments is preferred.

Experience in evaluating, implementing, and administering relational databases or other systems is preferred.

Experience with legal documentation (fund documents/securitization documents or comparable legal documents) is helpful, but not required.

Required Skills:

Create complex multi-tiered waterfall models (or equivalently complex models) in Excel.

Demonstrated understanding of advanced financial concepts, bond math, and cash flow analysis.

Exceptional presentation skills; experience presenting complex analytics in a comprehensive, straightforward, intuitive and auditable fashion.

Ability to work in a highly collaborative team environment to achieve broader organizational goals.

Experience in MATLAB, relational databases, Excel/VBA, or etc.

Demonstrated familiarity with options pricing models, forward curves, and other relevant credit modeling concepts.

Physical Requirements:

Regularly required to sit for extended periods of time; frequently required to stand, walk, and use business equipment daily such as computer, copier, fax, telephone, etc.; frequently required to reach overhead, bend, and lift objects of up to 25 lbs.

Ability to handle stress caused by multiple priorities, and other unforeseen situations associated with the organization.

Eyesight and hearing must be correctable to standard level.

Other Information
Must be eligible to work in the United States without company sponsorship.

Organization Description
USAA Real Estate Company (\"RealCo\") was founded in 1982 as the real estate investment arm of USAA. With over $15 billion in assets under management, the company provides co-investment asset management services to U.S. pension funds, as well as to foreign and domestic institutional investors. USAA Real Estate Company also provides capital to partners for development. The portfolio consists of office, medical office, industrial, multi-family, retail and hotel properties as well as investments in real estate operating companies. USAA Real Estate Company is headquartered in San Antonio, TX with several regional offices throughout the U.S. and Europe. www.usrealco.com

How to Apply
https://careers-realco.icims.com/jobs/1765/quantitative-analyst-associate---portfolio-analytics/job

Last Day to Apply
01/01/2017