FactSet is a financial data and software company headquartered in Norwalk, CT with offices in 48 locations worldwide. As a global provider of financial information and analytics, FactSet helps the world’s best investment professionals outperform. More than 170,000 users across 7000+ clients stay ahead of global market trends, access extensive company and industry intelligence, and monitor performance with FactSet’s desktop analytics, mobile applications, and comprehensive data feeds. As of February 2022, annual subscription value reached $1.75 billion, and headcount passed 10,500.
As part of FactSet’s Analytics & Trading Middle Office Solutions Unit our Risk Quantitative Research and Development team (Risk QRD) is responsible for researching and developing FactSet’s in-house factor based multi-asset class (MAC) risk models. That includes linear factor modeling, risk factors multivariate distribution fitting and Monte Carlo simulation, Full-valuation MAC risk modeling, among others. This is a global team that consists of self-motivated, articulate and highly skilled professionals. A unique blend of people with strong quantitative and technical skills.
Our team is the source of both new and existing in-house risk models which means what we build has downstream consequences for many other systems and teams, including but not limited to: software engineering, product development, model validation, strategy, and sales.
The FactSet’s Full valuation MAC risk solution is a factor-based full-repricing multi-asset class risk solution offering historical and parametric multi-asset class risk and risk budgeting. It covers 50+ security types including the security types within the core asset classes – equity and fixed income as well as a broad range of vanilla and exotic FX, Equity, Interest rate, commodity, and volatility derivatives. This model is designed for the most advanced clients’ portfolios with a broad range of financial instrument types. Full-valuation risk research team is responsible for the research, prototyping, validation, testing and support of the historical and parametric full-valuation models offered by FactSet.
More information and how to apply here.