AVP, Portfolio Manager - Systematic Volatility, Portfolio Engineering and Solutions
Core
Design, develop, and manage systematic volatility strategies in FX and commodities to provide cost-efficient hedging or carry generation.
Role type
Senior IC systematic portfolio manager (volatility)
Builds
Systematic volatility strategies and risk management solutions for the Total Portfolio
Domain
Global asset management, FX, and commodities
Deliverable
production ML models
Required skills
Volatility forecasting, options pricing theory, stochastic calculus, time-series analysis, robust backtesting, Python, SQL, risk metrics analysis
Preferred skills
Tail hedging, convexity strategies, bank QIS allocation, AI/ML tools
Technologies
Python, SQL, backtesting frameworks, pricing libraries
Responsibilities
Develop volatility forecasting models and signals; own end-to-end research from hypothesis to validation; assess build vs. buy alternatives; manage systematic volatility strategies including rolls and rebalancing; monitor portfolio risk metrics and conduct stress testing; develop market screening tools; present strategy proposals and risk insights to senior management
Seniority
Senior, hands-on IC
