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The FISER Group · 4 hours ago

Senior Fixed Income Risk Analyst - Consultant

United States

Contract

Remote

Senior Level

The FISER Group is partnered with a global asset manager seeking an interim fixed income risk consultant. The role involves providing insights and advice to portfolio management teams regarding risk and return alignment, requiring a quantitative mindset and strong programming skills.

AdviceConsultingFinancial ServicesManagement Consulting

Responsibilities

Calculate and track portfolio risk exposures, including aspects such as duration, convexity, yield curve positioning, spread duration, DTS, and factor exposures

Produce Value at Risk (VaR), tracking error, and results from scenario analysis and stress tests reports for review by portfolio managers and risk management leadership

Assist in monitoring hedge positions and exposures for seed capital investments. Prepare reports on hedge effectiveness, P&L attribution and residual risk. Maintain supporting documentation for hedging activities

Support the development and validation of fixed income risk models

Conduct ad-hoc analysis on interest rate, credit and macroeconomic risk exposures

Utilize risk analytics platforms like BlackRock Aladdin, Bloomberg PORT, and MSCI BarraOne to produce and interpret portfolio risk metrics

Employ programming tools (Python, R, SQL) to extract, process, and visualize large datasets

Develop automated reporting tools and dashboards using PowerBI or Tableau

Prepare client-ready risk commentary for quarterly reviews and due diligence requests

Analyze performance attribution reports to identify key risk and return drivers, linking performance outcomes to portfolio positioning and market factors

Respond to direct requests from portfolio managers and engage with them proactively

Produce ad-hoc reports addressing risk issues in current market conditions

Support the implementation and development of quantitative solutions for risk management

Qualification

Fixed Income Risk AnalysisRisk Models KnowledgeProgramming PythonProgramming RProgramming SQLRisk Analytics PlatformsAutomated Reporting ToolsSelf-sufficiencyCommunication SkillsInterpersonal SkillsInitiative

Required

Quantitative mindset

Programming ability

Good knowledge of derivatives

Good communication/interpersonal skills

Good understanding of risk models

Understanding of different investment processes

Self-sufficiency

Initiative

Calculate and track portfolio risk exposures, including aspects such as duration, convexity, yield curve positioning, spread duration, DTS, and factor exposures

Produce Value at Risk (VaR), tracking error, and results from scenario analysis and stress tests reports for review by portfolio managers and risk management leadership

Assist in monitoring hedge positions and exposures for seed capital investments

Prepare reports on hedge effectiveness, P&L attribution and residual risk

Maintain supporting documentation for hedging activities