Treasury Senior Quantitative Researcher

A leading asset management firm is seeking a Senior Quantitative Researcher to join its Treasury Quant team. This team plays a critical role in firm-wide portfolio construction, optimizing margin allocation across all asset classes, and enhancing the firm’s liquidity management.

Key Responsibilities:

  • Develop and implement risk-based models for margin allocation and optimization across various asset classes.

  • Continuously refine and upgrade margin allocation methodologies to improve efficiency.

  • Design and implement margin optimization processes tailored to different asset classes.

  • Enhance the analytics suite used by the treasury team for capital utilization and allocation management.

  • Analyze and approximate regulatory and house margin methodologies, including cross-margin approaches.

  • Collaborate with risk teams to leverage existing margin methodologies.

  • Develop tools to explain margin allocation and key drivers.

  • Work closely with Portfolio Managers and business leaders to refine margin attribution models.

  • Expand product coverage and methodologies for margin calculators and treasury-specific analytics.

  • Strengthen the quantitative framework for managing liquidity, cash, and collateral deployment.

  • Design, prototype, test, and implement risk-based margin models.

Key Qualifications:

  • Advanced degree (PhD or MS) in a STEM field.

  • Hands-on experience solving optimization problems, with expertise in at least one optimization engine (Mosek preferred).

  • Significant experience as a Quantitative Researcher in a front office, treasury, or risk team.

  • Strong modeling expertise with practical implementation experience.

  • Excellent programming skills in Python (including NumPy, SciPy, Pandas).

  • Proven ability to deliver asset-specific allocation and optimization libraries in Python.

  • Deep knowledge of Equities, Credit, and/or Commodities.

  • Prior experience in building a margin methodology is preferred.

  • Ability to manage multiple projects simultaneously in a fast-paced environment.

  • Innovative and adaptable approach to solving real-world financial problems.

  • Experience leading projects involving multiple teams, including Portfolio Managers, risk, and IT.

How to Apply: