Quantitative Analyst and Risk Modeler

Analytics & Risk Management - Analytics


The Quantitative Analyst/Risk Modeler (the Quant) will be involved in creating cutting edge quant models and producing accurate, model based, security analytics for well over 100,000 instruments followed by Western Asset. These instruments comprise virtually all aspects of the global fixed income markets including derivatives. Producing these analytics requires a deep understanding of the fixed income markets and of quantitative modeling.


Daily production of measures such as duration, spread duration, weighted average life, and yields is accomplished by using variety of custom in-house and external vendor models. The Quant will not only develop models but also be responsible for model implementation – ensuring that the analysis tools are run accurately and on time – and original research. The original research can range from investigating unusual analytics, to modeling new instruments, to assisting the portfolio managers and risk managers with projects on creating cutting-edge quantitative models of complex securities and of portfolio strategies.



  • Research, build, implement, test, and optimize quantitative models for virtually all types of fixed income instruments including derivatives using cutting-edge techniques
  • Develop and improve the team’s analytics production engine that runs the quantitative models
  • Ensure the timely and accurate production of security analytics
  • Perform original research and analyses, both quantitative and qualitative, for fixed income securities and risk issues
  • Work with the senior risk managers to identify risk-related information and emerging risk issues
  • Work proactively with the portfolio management teams to identify quantitative and risk-related information required to assist in the portfolio management effort. Perform rich-cheap valuation analysis for portfolio management as appropriate
  • Work proactively with the client service team to identify risk-related information required to acquire, inform, and retain clients
  • Interface with several of the firm’s major proprietary and vendor related systems and applications
  • Work closely with other divisions of the firm to accurately and efficiently disseminate analytics information



  • Quantitative modeling expertise in areas like Stochastic Calculus, Monte-Carlo Simulation, Term Structure Models, Interest Rate Models, Option Pricing Models (Binomial Trees, Black-Scholes, Greeks etc.), Time Series, Relative Value, Numerical Methods, etc.
  • Strong technological acumen and programming: knowledge of 4GL languages like SAS, Matlab, R, SPSS, Advanced Excel/VBA, and SQL required, others like C, C++, C#, Java, preferred. 
  • Knowledge of Bloomberg, vendor systems like Barclays Point, Citi Yield Book, ADCO, etc. is desired
  • Experience working in a fixed income trading or portfolio management group
  • Excellent interpersonal skills, including verbal and written communication skills
  • Must be professional, detail-oriented, organized, proactive and possess the ability to perform in a fast-paced, high-pressure, team environment



An advanced degree like MFE, MS/MBA Finance is required.  Ph.D. in a quantitative area is preferred.

How to Apply

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