Citadel

Position Title/Short Description

Full Text of JOE Listing:

Business: Equity Quantitative Research (EQR)
Title: Quantitative Researcher, Equity Model Research (EMR)
Location: New York

Equity Quantitative Research (EQR) sits at the intersection of fundamental investment approach and quantitative rigor and discipline. Teams of quantitative researchers and developers work together to build and scale one of the largest equities portfolios in the market by optimizing various aspects of the investment, risk management, portfolio construction, and trade execution lifecycle. EQR’s teams are small and highly collaborative – each member makes meaningful contributions to the research agenda and direction, and has visible impact in Citadel’s investments.

Equity Model Research
The Equity Model Research team (EMR) is responsible for the tools and analytics required for portfolio construction, risk management, and hedging of Citadel’s equities portfolios. The customized risk models and hedging framework developed by EMR are central to Citadel’s ability to manage our business and provide a competitive advantage to our investment teams.
Responsibilities

Research portfolio construction and optimization in the context of large complex equity portfolios
Apply cutting edge computational techniques and statistical methods to solve complex problems
Build proprietary risk models for both fundamental and quant equity long-short strategies
Develop econometric and mathematical models to define stress scenarios and estimate the statistical properties of drawdowns
Leverage economic models and financial analysis to define fundamental factors driving the cross-section of stock returns

Engage with a variety engineering and research teams to implement analytics in production
Work closely with Portfolio Managers and Risk Managers to understand and incorporate risk metrics and methodologies within the investment process
Stay up to date on the latest academic and industry research and challenge yourself to continually improve and challenge the way things are done
Explore new and alternative data sources while developing a deep understanding of financial markets

Requirements
Bachelors, Masters, or Ph.D. in Statistics, Mathematics, Operations Research, Economics or a related field
Advanced training in Statistics, Mathematics, Finance/Financial Engineering or a related field
Strong mathematical and/or statistical modeling background
Demonstrated empirical skill; comfortable with analysis of large datasets
Intellectual curiosity and passion for solving investment problems through the use of technology and fundamentals
Demonstrated interest in or knowledge of investments, including asset pricing, empirical anomalies and market microstructure
Previous exposure to a quantitative research role with exposure to equity factor models preferred
Experience using statistical packages (e.g. Matlab, R) and experience with programming & scripting languages (e.g. Python, C/C++)