Quantitative Risk Analyst (Hedge Funds)

Function

Quantitative Risk Analyst

Activity Presentation

Unigestion is a privately owned asset management company based in Geneva with offices in London, Paris, New York, Singapore, Munich and Guernsey and approximately USD 13 Billion total assets under management as at 30 September 2007. We focus exclusively on the management of innovative, highly active strategies spanning the private and public capital markets, and seek to deliver consistently superior risk-adjusted returns within the context of each client’s long-term asset allocation. Unigestion’s platform of investment services offers 4 specialist strategies designed to produce superior risk-adjusted returns: Hedge Funds of Funds, Private Equity Funds of Funds, Public Equities and Multi-Management.

The Hedge Funds activity manages today around USD 3.5 Billion. We managed diversified, “style specific” and tailor made portfolios of hedge funds meeting precise needs in terms of correlation, risk and performance based on our deep understanding of the behaviour, risk and return characteristics of the different hedge fund strategies. More than 95% of our clientele is European. Most of our client base is located in Switzerland, Germany and France. More than 50% of assets under management come from pension funds while insurance companies represent just below 20%. The team includes around 30 dedicated persons with 6 of them focusing on client relations and services. Finally, the Hedge Fund team benefits also from the support of a shared platform of services including marketing, IT, compliance, etc …

Job Description

Quantitative Risk Assessment and Analysis

Deep knowledge of Hedge Fund Strategies and their embedded risks.
Proper definition of adequate risk measures.

Ensure that the risk measures adopted to characterize the risk of a manager are adequate and properly defined.
Define prudential risk limits and guidelines in order to act before a risk limit is breached.
Insure that the measures used to estimate the manager’s risk profile embed all the available information on the manager: style, redemption fees, liquidity, money management and any other relevant information.

Work together with the Quantitative Research to develop indicators to:

Monitor potential manager’s style drifts.
Develop new Risk measures, and factors to monitor.
Develop the FEB (Future Expected Behavior) concept to ultimately get the most accurate “risk profile” and expectations in terms of behavior in different market environments.
Develop state of the art quantitative tools to monitor the behavior of Hedge Funds Managers in term of time dependent exposures, non linearities, biases, or style.
Research of potential indicators for market cycles timing, e.g. flows, cycles of alpha with respect to a properly defined benchmark, strategy specific environment.

Contribute to integrate the risk into the Allocation Process given the specific product objectives.
Organize monthly meetings with each Strategy Analyst in order to define guideline for strategy specific quantitative tool, follow-up the advances, and to grant that the Strategy Analyst adequately understands the available quantitative tools.
Implement indicators based on synthetic strategies to monitor, manager’s added value.
Develop systemic risk indicators.
Implement quantitative prototypes and supervise their implementation within the IT production systems.
Support the asset allocation and Unigestion’s products Risk Control.

Risk Monitoring & Development

Day to Day FEB Alerts.

Monitor any FEB breach alert and make sure the Manager Research Group and the Hedge Fund Investment Committee are aware of those breaches (process compliance).

End of Month Flag Reports (GAMS – Lyxor & Unigestion).

Generate the Month End Flag Reports and send it to the the Manager Research Group and the Hedge Fund Investment Committee. Make sure any Flag resolution is properly documented in compliance with the UNIGESTION investment process.
Insure communication.

New FEB & FEB Changes.

Introduce the new FEB into GAMS.
Evaluate the FEB (coherence) and discuss with the Manager Research Group if needed to understand his view and document any views’ divergence.
Change the existing FEB when needed (via a proper template) and make sure this is documented.

Risk Platform Development.

Grant the evolution of the Risk monitoring platform by acting proactively.
Program risk monitoring prototypes in Matlab / C or any other available programming language which could be integrated by the IT team without the need recoding.
Follow the integration in the UNIGESTION systems of the prototypes until the final validation.

Keep an updated list of managers to be visited by a member of the Risk Team with the strategy analyst during the year.
Work out with the analyst group an effective and documented “action plan” whenever a Fund breaches the Amber / Red Alerts.
Put in place a proper Risk Questionnaire for risk visits.
Report on the global risk and money management process and give advices on the steps to follow.
Reporting.

Provide the Hedge Funds Committees and meetings with the adequate quantitative reports respecting the quality standards.

Team Player and Responsibilities within the team

Dynamically interact in a friendly and constructive way with the other members of the Quantitative Research and Risk Control team.
Support and act to enhance the communication and synergy with the Manager Research Group.
Grant the communication and insure collaboration with the Product & Business Development team.
Follow the IT integration of your new developed risk modules within the company’s systems.
Insure the backup for the allocation.
Duly document all the activities in order to consolidate the knowledge at the team level.

Appointment date

Immediately or as convenient.

Languages

Fluent english spoken & written.

Required Profile

Scientific Background (at least Master): Mathematical Finance, Mathematcs, Physics, Engineering.
At least 5y experience in an equivalent field.
IT: Matlab, C, SQL, Excel, VB
Exerience in FOHF risk management with a Deep Knowledge in HF Strategies and their embedded risks.

You

Able to work in a team and independently.
Produce precise, organised and accurate work.
Are motivated and enjoy challenges.
Have excellent interpersonal and communication skills.
Have a strong sense of values and ethics.

Please send your CV to jobsgeneva@unigestion.com