• Portfolio Risk Manager

    Location US-CA-Pasadena
    Category
    Risk Management
  • Overview

    The structured products risk manager will be responsible for risk management of all structured product investment strategies which predominantly investing in RMBS, CMBS, ABS, CLO, and non-securitized whole loans, including Western Asset Mortgage Capital Corporation (‘WMC’) an externally managed mortgage REIT.  The risk manager’s primary responsible lies in performing in depth analysis and developing quantitative risk models to independently identify, measure, assess, and ultimately control investment risk.

    Responsibilities

    • Design and develop quantitative risk models to measure and quantify risk in structured product strategies.
    • Perform stress testing and scenario analysis to assess tail risks.
    • Develop and deploy tools to forecast WMC GAAP earnings and book values under both baseline and stress scenarios.
    • Ensure structured product analytics – duration, spread duration, weighted-average life, etc. are accurate.
    • Perform P&L attribution for structured products accounts and WMC.
    • Conduct periodic risk reviews with structured product investment teams.
    • Work with structured product investment teams to incorporate risk analysis in investment strategies.
    • Respond to questions/requests from client services, investment management, risk management, and external clients on risk and quantitative issues.
    • Represent Western Asset and the Risk team in client meetings and external forums.

    Competencies:

     

    • Working knowledge and experience analyzing fixed income instruments with an emphasis on RMBS, CMBS, ABS, and CLO, either through work as a quantitative analyst or trader.
    • Strong empirical, analytic and technical skills.
    • Familiarity with third party analytic and risk systems such as Yield Book, POINT, Bloomberg PORT, etc.
    • Demonstrated technical acumen with MS Excel/VBA, SQL, SAS, Python, R, or other software applications/languages.
    • Strong verbal and written communication skills.
    • Knowledge and experience in Machine Learning a plus.

    Qualifications

    • Masters or PhD in a quantitative field, e.g. Computer Science, Data Science, Economics, Finance or Financial Engineering, Engineering, Mathematics, Physics, etc.
    • 5 years of experience working in a relevant capacity in the financial services industry.

     

    How to Apply

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