Portfolio Risk Manager, Vice President (Pacific Investment Management Company LLC - New York, NY); Multiple positions available. Offered salary range $210,000 to $240,000 per year. Monitor portfolio risk measures and products across various asset classes to identify key risk factors and alpha contributors. Estimate risk metrics including duration, convexity, and the Greeks for major positions; and implement multi-factor risk model to evaluate profit and loss (“PnL”) of portfolios. Perform in-depth strategy analysis and demonstrate keen portfolio risk with portfolio managers periodically and provide constructive suggestions that enhance portfolio returns and mitigate risk. Develop stress test scenarios to evaluate market risk sensitivity to interest rates, credit spreads, equities, and foreign exchange factors. Perform simulations to estimate tail risks including Conditional Value at Risk(CVaR). Collaborate with Analytics Team to ensure risk measures are correctly modeled for derivatives positions including equities, interest rate products, and commodities. Conduct regression analysis and other statistical analyses on historical risk exposures to determine portfolio betas to market factors and the correlated positions among strategies. Integrate and validate data from different sources and explore new datasets to add incremental analytics power into existing risk management process. Utilize Python to perform data analysis and to automate risk reports. Partner with internal teams including technology and analytics to improve and extend existing capabilities and coverage.Requires a Master's degree in Finance, Mathematics, Financial Engineering, or related quantitative field. Education, training, or experience must include: evaluating credit risk using Monte Carlo Simulation which involves using antithetic variables, control variables, importance sampling, martingale control variables, stratification, and the estimation of the "Greeks"; constructing optimized portfolios based on underlying factor models for investors with different preferences, and back testing the performance of these portfolios using several decades of historical data; modeling relationships between multiple variables using regression analysis; analyzing quantitative trading strategies using time series analysis, including univariate ARIMA modeling, forecasting, seasonality, model identification and diagnostics; developing simulation methods to efficiently calculate the risk associated with portfolios of derivative securities; developing nested simulations needed to perform stress tests or assess risk over longer time periods; and, using Python for financial computing, involving an understanding of data structures and algorithms. Apply with resume to Lupe.Rubalcaba@pimco.com. Reference Job ID: 7835350

Minimum Salary: 210,000 Maximum Salary: 240,000 Salary Unit: Yearly