Equity Portfolio PnL Attribution Analytics

London, England, United Kingdom

12/6/2024

Role: Equity Portfolio PnL Attribution Analytics

Location: London

Job Description

Break down the performance of all equity-linked portfolios into various components such as market movements (Greeks-based PnL attribution), trading activities and other factors to explain the drivers of performance. Millennium is assembling a new team to design, implement and operate their next generation equity volatility fitting platform, which will be used to provide intraday firm wide pricing, risk and PnL for all Equity products, including exotics. This is an exceptional opportunity to join Millennium in a high-growth area.

Job Responsibilities

• Break down the performance of all equity-linked 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 equity derivatives 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, plus at least 3 years of relevant work experience
• Advanced knowledge of equity derivatives 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