Treasury Quant Specialist

The individual will need to:

• Enjoy working in a fast pace, collaborative environment across multiple quantitative functions of the Treasury Group.
• Manage key user requests, translating technical specifications into data-driven models and automated reporting.
• Work with key stakeholders, including Operations and Technology, to develop, implement and deploy the aforementioned models and reports into the firm s infrastructure.
• Assist in the development of a systematic process for cost efficiently allocating Millennium s multi-asset portfolio across various financing counterparties within the region.
• Assist in the deployment of the Firm s stress liquidity framework, which ensures the firm has sufficient capital in times of market stress.
• Assist in the development of a quantitative framework for allocating capital charges (based on capital consumption) to relevant portfolio managers.

Responsibilities

• Collaborate with quantitative modellers in the development of comprehensive and dynamic model (suite of models) for cost efficient portfolio optimization and allocation across multiple Financing Providers.
• Work independently to translate specific user requirements into quantitative models and automated reports. Collaborate with the Technology team to push these models and reports into production.
• Work with team members to maintain the Firm s stress liquidity framework. This requires intimate knowledge of prime broker margin frameworks, drivers of cleared and exchange margin, terms in the firm s legal agreements, trading patterns and the development of statistical models to predict changes in the quantitative factors over a fixed time horizon.
• Assist in the development and calibration of margin models (across multiple asset classes) to be used to calculate capital usage and subsequently a pass-through charge to portfolio managers based on the same.
• Prepare formal documentation of all models and processes in which the individual is involved.

Qualifications/Skills Required

• Degree in a quantitative discipline (e.g., Engineering, Statistics, Mathematics, Physics or Computer Science).
• Interest in the financial markets and hedge fund trading strategies (across all major asset classes)
• Ability to work independently and with minimal supervision.
• Strong knowledge of SQL at least one high-level language for quantitative modelling - Python preferred.
• Good communication skills.
• Prime Brokerage and multi-asset class knowledge a plus.