PnL Attribution Analytics - Fixed Income
Millennium is a global, diversified alternative investment firm, founded in 1989, which manages $77 billion in assets. Defined by evolution, innovation and focus, Millennium's mission is to deliver high-quality returns for our investors. Millennium seeks to empower talented professionals with the sophisticated expertise, resources and technology to pursue a diverse range of investment strategies across industry sectors, asset classes and geographies.

Responsibilities -
PnL Attribution
Review, adjust, and sign off daily firmwide PnL attribution reports, ensuring completeness, accuracy, and consistency across portfolios.
Prepare performance attribution reports for senior management and portfolio managers, highlighting primary PnL drivers and providing ad-hoc deep-dive analysis as required.
Investigate and explain material PnL moves on a Trade Date and T+1 basis, acting as a key point of contact for traders, risk, and finance on all PnL-related queries.
Develop systematic controls to validate and enhance PnL attribution processes,



including automated reconciliations, threshold-based alerts, and exception reporting.
Valuations & Pricing
Monitor and validate both real-time and end-of-day pricing for all fixed income instruments across Rates, Credit, and FX, including derivatives and structured products.
Ensure accurate end-of-day marks are aligned with market data, internal valuation policies, and observable datasets (e.g., yield curves, credit spreads, volatility surfaces, correlations).
Monitor portfolio valuations versus counterparty marks, investigate and reconcile material differences, and support fair value and dispute resolution processes.
Risk & Greeks
Maintain a solid working knowledge of Greeks-based risk sensitivities (DV01, CS01, Vega, Theta, Rho, Gamma, and higher-order sensitivities) and their application to PnL attribution across fixed income derivatives.
Collaborate with quants and risk teams to ensure risk facto

📌 PnL Attribution Analytics (Bengaluru)
🏢 Millennium
📍 Bengaluru