The Fixed Income Analytics Team provides a number of services and lines of support to the fund managers, credit analysts and product management within Fixed Income including but not limited to; Stress Testing and Scenario Analysis, ex ante Risk, VaR reporting, portfolio optimisation and customised Attribution production.
Overview of role
The role holder will be the key person in Asia responsible for investment risk analysis and reporting and performance attribution. The role holder will work closely with Asian fixed income portfolio managers on quantitative analysis. The role will also include operational risk responsibilities.
- Generating and analysing attribution and risk reports for Asian portfolios
- Daily monitoring of portfolio risk and performance and explain risk and performance changes
- Ensure portfolios risks taking are in line with their risk budgets and objectives, and consistency within each strategy
- Tracks team’s investment strategy and trades, advise on risk adjusted trade sizing and portfolio constructions
- Participate in weekly strategy meeting, contribute ideas from market risks perspective, encourage balanced risk taking culture
- Generating and analysing materials, and encourage discussions in Monthly Performance Review with the investment team
- Style Analysis for Head of Asia Fixed Income
- Maintain oversight of delivery of stress test data
- Run Adhoc scenarios analysis across strategy as part of the investment process and portfolio constructions
- Creating custom reports or model portfolios to assist all distribution & product functions in winning new business
- Developing macros in order to enhance data analysis and custom reports
- Building custom applications supporting Global and Asia fixed income initiatives
- Running daily data integrity / tolerance checks on the source data and reconciliation
- Liaising with the FI IT Team, Investors and Third Party vendors on identified any analytics issues and implement resolutions
- Stress testing and user acceptance testing on the Risk and Attribution models or enhancements, as required
- Work closely with London team to develop new ideas and new tools or improving efficiency
- Work closely with FI IT in relevant systems development, implementations and testing.
- Work with Group Risks to ensure portfolio adhere to regulatory and internal limits and in designing Fund risk profile
- Write technical papers covering innovation and gaps in support of monitoring the alpha generating process
- Attend vendors/industry conferences and keep update with industry trends and developments
- An understanding of Fixed Income Risk modelling/analytics, benchmarks and Attribution models
- An understanding of Fixed Income and currency markets, in particular Asia and Emerging markets
- Ability to communicates confidently with investment team on market and investment related issues
- A desire to develop fixed income knowledge in conjunction with building models and commercial applications.
- Strong analysis skills – Mathematics, Econometrics, Quantitative Finance
- Work well as part of the team
- Attention to detail
- Ability to add value to business process
- Ability to pick up new concepts quickly
- Strong communication skills and a consultative approach coupled with a “can-do” attitude
- Strong self-organisation, time management and prioritisation skills
- History of successful problem solving and data analysis/hypothesis testing
- Management experience, within small teams.
- MS office Suite (Excel - macros / VBA ), Word, Access
- Data Visualisation tools – Tableau, Python, SQL
- Risk management and fixed attribution system skills (advantageous)- BRS Aladdin, Bi_SAM
- Excellent verbal and written communication skills
- Ability to operate under pressure and deliver to demanding deadlines
- Ability to deal credibly with business and technical users at all levels of the organisation
- Ability to perform well within a global company.