Treasury Senior Quantitative Researcher

1 week ago

London Area, United Kingdom Balyasny Asset Management L.P. Full time

The Treasury Quant team at Balyasny Asset Management is expanding, and we are looking for a Senior Quantitative Researcher. The Treasury Quant team is responsible for firm-wide portfolio construction, globally, across all asset classes, aimed at minimizing margin, and contributing to maximizing the Firm’s liquidity buffer. The Quantitative Researcher will: · Develop and implement internally consistent risk-based models for margin allocation and optimization, across all asset classes · Constantly review and upgrade margin allocation models. · Design and implement margin optimization processes for different asset classes · Enhance the analytics suite used by the treasury team to measure and manage capital utilization and allocation · Analyze and approximate various house and reg margin methodologies, including cross-margin · Collaborate with the risk team to leverage their offering for margin methodologies · Create risk-based explain tools for margin allocation and drivers · Work with Portfolio Managers and Business Leaders to refine margin attribution models · Help expand product coverage and methodologies used for various margin calculators and treasury specific analytics tools for efficient capital deployment · Expand the quantitative framework for managing the firm’s liquidity, cash and collateral deployment · Design, prototype, test, and implement risk-based margin models Qualifications and Requirements · 10 or more years of experience in Quantitative Research at Hedge Funds, Banks, and/or Asset Managers within a Front Office, Treasury and/or Risk team · STEM PhD or MS degree · Hands on experience solving optimization problems and in depth experience with at least 1 optimization engine – Mosek preferred. Real world optimization implementation expertise required · In depth modeling experience · Excellent hands-on programming skills in Python (including numpy, scipy, Pandas) · Expected to deliver asset specific allocation and optimization libraries in Python · In depth knowledge and experience in Equities, Fixed Income, Credit and/or Commodities · Direct involvement in building a margin methodology · Ability to work on several projects simultaneously · Innovative, flexible, open approach to solving real-life problems · Experience with being responsible for projects spanning several teams (PMs, risk, IT, etc)

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