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Lead Analyst Portfolio Risk
Crisil
posted 2mon ago
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Flexible timing
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Job Description
- Proprietary risk analytics: maintain the calibration (quarterly) of proprietary survey-based scenarios (quadrant and black swans) and proprietary risk metrics (beta-adjusted durations, credit risk budget targets etc) already in use as well as future analytics to be deployed Multi Asset Carry Dashboard :Automate, upgrade and produce risk analytics for carry trades to facilitate the adoption of opt-in carry programs in Multi Asset and Fixed Income portfolios
- Taiwan domestic equity fund benchmarking and risk monitoring tool: Build and rebalance custom benchmarks informed by quarterly holding data released by the regulator (Taiwan specifically), build basic risk monitoring infrastructure to track risk and performance vs peer group (tactically on Refinitiv ; strategically build data feeds and roll it out to the investment team in Taiwan
- Performance attribution upgrade: leverage FactSet to create new performance attribution templates that measure alpha more accurately than conventional templates (factor-based for equity, custom for fixed income and multi asset as opposed to Brinson and standard methodologies)
- Negative sentiment screener: design and build an idiosyncratic sentiment screener to detect early weakness signals in direct equity and FI holdings with a focus on our largest positions (absolute and active)
- Fixed Income proprietary liquidity metrics: unlike equity, FI is an OTC market and liquidity is not only a function of market liquidity but also a function of execution capabilities
- To engage in project to create and run survey-based liquidity indicators (maximum trade size and txn costs as estimated by our Dealers) for custom categories of bonds and derivatives Automate and produce numbers, charts and slides for Investment Committee consumption
Employment Type: Full Time, Permanent
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Anonymous · BFSI, Investments & Trading
in Chennai
Flexibility to work from home
- Salary - Good
CRISIL needs to do things more organised way.
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Crisil Chennai Office Locations
600008
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