Risk and Quantitative Solutions Analyst

Title: Risk and Quantitative Solutions Analyst

  • Employer: Capital Research Company
  • Website: http://thecapitalgroup.com/
  • Working hours: Full-Time
  • Location: 11100 Santa Monica Blvd. Los Angeles, CA 90025-3384
  • Job Description:

    About Capital Research Company

    Capital Research Company (CRC) is a research subsidiary of Capital Research & Management Company (CRMC), which in turn is a wholly-owned subsidiary of The Capital Group Companies, Inc. (CGC), parent of a worldwide collection of investment research & manage¬ment businesses. Investment research conducted at CRC informs the equity & fixed income investments made by CRMC on behalf of the American Funds family of mutual funds.

    Job Description:

    The Risk & Quantitative Solutions Analyst will apply, adapt & develop mathematical & statistical models to ascertain risks associated with the selection of fixed income securities (e.g., corporate & government bonds, asset-backed securities, collateralized mortgage obligations, derivatives), to inform investments & support results analysis projects for mutual fund portfolios. Apply mathematical concepts & procedures, including VaR modeling, calculus & optimization methods, & multivariate analysis, to the resolution of practical investment issues. Devise, test, & fine-tune sophisticated multi-factor mathematical models for risk management & surveillance, portfolio indexing, performance attribution, ROI, optimization, value-at-risk estimation, interest rate modeling, & stress testing. Interpret & report on results of applying advanced software for multi-asset portfolio review, including Barclays Point & BarraOne, to estimate market volatility & risk exposure. Validate mathematical models of risk & volatility vis-à-vis established analysis methods & formulas, including outcomes from advanced Excel add-on calculations, DCF analysis, & internal rate of return analysis. Extract financial data from portfolio accounting reports, & apply mathematical calculations, to provide reliable risk metrics for evaluating asset allocations & fixed income securities selections. Analyze the mathematical bases of risk & volatility estimation models (e.g., Sharpe measure, Treynor ratio) to explain discrepancies in quantities calculated by alternative portfolio metrics. Responding to requests from portfolio managers, interpret outcomes from fixed income analysis methods & summary statistics from bond rating agencies. Work closely with Information Technology Group developers to produce software to operationalize mathematical models. Monitor professional journals & maintain contact with mathematical modelers in the fixed income field to keep abreast of developments in statistical modeling for fixed income analysis & risk assessment. Prepare & present reports of results of quantitative risk modeling, & provide insights into factors influencing the performance of fixed income securities, to investment portfolio managers & oversight groups.

    Requirements:

    Masters degree in statistics, mathematics, applied mathematics, finance or similar area, plus a minimum of three (3) years of experience as a risk & quantitative solutions analyst, analytics products developer or specialist, or applied mathematician, or in a related occupation.
    Requires experience as follows:
    • Developing, testing & applying multi-factor mathematical models of fixed income investment risk that include capabilities for performance attribution, portfolio indexing, ROI optimization, value-at-risk estimation, interest rate modeling, stress testing & assessment of  risk from counterparty contracts

    • Analyzing risk factors associated with the issuance & purchase of financial derivative instruments, including credit default swaps, equity guarantees, & structured credit products

    • Advanced analyses using risk modeling software for performance measurement, risk management, & volatility assessment (e.g., Barclay’s Point, Wilshire Axiom Analytics, BarraOne)

    • Advanced applications of fixed income risk & volatility estimation models (e.g., Sharpe, Treynor, Sortino, Rachev)

    • Interest rate modeling, plotting of yield-curve & term structure functions, scenario analysis, VaR estimation, risk budgeting, dynamic cash flow testing, & use of applied capital asset pricing models for fixed income investments

    • Quantitative analysis, discounted cash flow (DCF) analysis, return on investment (ROI) analysis & internal rate of return analysis

    • Quantitative modeling & analysis using advanced applications of Excel (i.e., macros, pivot tables, indexes, Solver toolkit, & advanced portfolio analytic add-ons)

    • Construction of multivariate regression models using statistical software Excel & SAS

    • Risk analysis for investment research using calculus & optimization techniques, stochastic modeling, probability theory, & game theory

    • Accessing & interpreting statistics issued by bond rating agencies (e.g., Fitch, Moody’s, Standard & Poors)

    Requires training or experience as follows:
    • Application of statistical models (e.g., hidden Markov models, Monte Carlo simulations) for scenario analysis under macroeconomic regime switches

  • Other Info:

    Please submit your resume to www.thecapitalgroup.com/careers 

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