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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.