AQR is a global investment firm built at the intersection of financial theory and practical application. We strive to deliver concrete, long-term results by looking past market noise to identify and isolate the factors that matter most, and by developing ideas that stand up to rigorous testing. By putting theory into practice, we have become a leader in alternative strategies and an innovator in traditional portfolio management since 1998.
AQR takes a systematic, research-driven approach, applying quantitative tools to process fundamental information and manage risk. Our clients include institutional investors, such as pension funds, insurance companies, endowments, foundations and sovereign wealth funds, as well as financial advisors.
About The Team
AQR's Risk Management team has direct responsibility for monitoring and managing market, credit, liquidity, model and funding risk exposures of firm-managed investments, providing reports and other tools to the Principals, portfolio managers and traders, setting and managing limits and approving all new or changed strategies, models and accounts. Firm Risk Management works with the Risk Committee to oversee the design and production of risk reports, and to analyze risk issues and partners with other departments to encourage best practices in risk management. The department has direct authority to order position reductions and trade hedges, and it manages the cash investments for all accounts. The team is responsible for model validation, stress testing, scenario analysis and contingency planning.
Our team is looking for an exceptionally talented Model Risk Professional. Reporting directly to the Head of the Model Risk Group and a member of the overall Risk team, the successful candidate will take a lead role in the Model Risk function including:
Assess, design and implement governance and conduct independent model validation of existing models used at AQR
Develop a thorough understanding of the different types of models AQR utilizes: including but not limited to alpha generating, portfolio management, trading & risk models
Understand the different inputs to these models, how they are computed and expected to perform and react under different conditions
Have an intuition for potential pitfalls and issues / risks of using different models; thorough understanding of particular model limitations
Assess the ongoing appropriateness of our models in the context of the latest market developments, industry trends, and internal strategic objectives
Develop and maintain a centralized command and control over models; this includes maintaining an inventory and risk ranking of all investment models
Support documentation and monitoring of policies and procedures for model development, validation, change control
Take ownership of model validation and manage the development and ongoing maintenance acting as the go - to subject matter expert
Participate as needed in other projects linked to implementation of model risk management framework (e.g. process enhancement, tool development
What You'll Bring
Masters or Ph.D. in Finance, Operations Research, Math, Statistics, Econometrics or Financial Eng.
5+ years of experience building and using investment models; validation experience preferred (esp. with investment models), but not required
Experience working with all primary asset classes (equities, rates, credit, FX and commodities) and strong working knowledge of the economic relationships across asset classes
A strong personality with the ability to maintain a healthy skepticism when interacting with specialized experts
Ability to iteratively build, prototype and improve methodologies related to model validation
A strong technical risk proficiency afforded by a career track record of accomplishments within investment management
Programming experience, with demonstrated exposure to multiple languages such as Python, C++, SQL, Matlab
Analytical and numerate with strong conceptual and practical problem solving and project management skills; someone who can thoroughly grasp complex situations, cut through to the key elements without getting lost in the detail, and deliver
Able to work well as an advisor to others who have deep industry experience
Who You Are
Committed to intellectual curiosity and integrity, with a high degree of ethics
Mature and thoughtful, with the ability to operate within a collaborative, team - oriented culture as well as operate independently
Hard working and eager to learn in a highly intellectual, innovative environment
Well - organized, detail - oriented; able to multi - task and keep track of various deadlines
Look beyond the surface level to understand the underlying details
Confident, self-starting, entrepreneurial, creative, with a pragmatic, results-driven orientation
Excellent communicator (verbal and written). Able to communicate complex ideas in a simple, succinct and understandable fashion