Capstone Investment Advisors, LLC seeks an Associate, Trader in New York, NY to implement systematic strategies including machine learning algorithms.
Requires a Masters degree in Financial Engineering or related field or equivalent and two (2) years of experience designing and building statistical models, including PCA-based factor risk decomposition, regression, and time-series models; developing structural models to quantify the reaction functions of major equity and fixed income index fund participants under funding, liquidity, regulatory, and balance sheet constraints; creating foundational risk analytics frameworks, including duration, convexity-gap, convexity-hedging feedback-loop, and OAS/extension-risk frameworks, to predict and anticipate rebalancing flows in Treasuries and Swaps; pricing IRS and Swaptions including performing discounting and forward curve construction and volatility surface calibration to quantify PV01, KRD, Vega, and convexity of long dated rate and volatility exposures to directly inform relative value strategies; performing Monte Carlo based scenario generation to design and evaluate customized stress scenarios for mortgage backed securities (MBS) basis risk (OAS), rates, and volume exposures against Treasury benchmarks; utilizing regression-based style analysis to create synthetic tracking portfolios; building and deploying hybrid LLM-based execution algorithms using Python and C++ to monitor and execute trades across multi-currency, cross asset portfolios; and developing data pipelines and SQL architecture to run VaR and Tail Risk simulations on multi-asset portfolios. Telecommuting and/or working from home may be permissible pursuant to company policies.
Apply at: https://job-boards.greenhouse.io/capstone-web/jobs/8765645002.