Fixed Income Portfolio PnL Attribution Analytics

Fixed Income Portfolio PnL Attribution Analytics

Millennium is assembling a new team to design, implement and operate their next generation intraday firm wide pricing, risk and PnL for all Fixed Income products, covering: Rates, FX, Credit and asset backed securities. This is an exceptional opportunity to join Millennium in a high-growth area. The role will breakdown the performance of all Fixed Income portfolios into various components such as: market movements (Greeks-based PnL attribution), trading activities and other factors to explain the drivers of performance. The role will have significant interaction with senior stakeholders across Core & Trading.

Job Responsibilities

• Break down the performance of all positions into its various components, including market movements (Greeks-based PnL attribution), idiosyncratic events, trading activities and other factors to explain the drivers of performance, with a focus on fixed income portfolios
• Prepare performance attribution reports for senior management, highlighting the primary PnL drivers and running ad-hoc detailed analysis when required
• Review, adjust (if required), and sign off daily firmwide PnL attribution reports. Work closely with technology and quants to support and improve processes related to PnL attribution.
• Develop systematic controls to validate performance attribution processes

Qualifications

• An advanced degree or equivalent in a quantitative subject such as Engineering, Mathematics, or Physics
• Minimum 3 years of relevant work experience
• Advanced knowledge of fixed income derivative products and risks
• Strong coding skills in python
• Detail oriented; Demonstrates thoroughness and strong ownership of work, with a good sense of urgency
• Team player with a strong willingness to participate and help others.