• Portfolio Risk Manager

    Location US-CA-Pasadena
    Category
    Risk Management
  • Overview

    The quantitative risk analyst/risk manager will be responsible for quantitative modeling, risk analysis and risk management of fixed income portfolios and strategies encompassing corporate credit, bank loans, securitized/structured products, CLOs, emerging market debt, FX and interest rate products.

    Responsibilities

    • Design and develop pricing, analytic and quantitative risk models for fixed income assets through the use of vendor and internally developed quantitative tools.
    • Proficiency in risk-factor modeling
    • Assist in the development of probability of default (PD) and LGD (loss given default) models for corporate credit and loans.
    • Monitor risk in assigned strategies/portfolios and perform period risk reviews with portfolio managers.
    • Perform return and return volatility attribution for assigned strategies/portfolios.
    • Conduct independent research into the sources of risk and return in assigned strategies/portfolios and work with portfolio managers to incorporate research into investment strategies.
    • Assist client service, investment 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 and investment strategies with an emphasis on corporate credit, bank loans, CLOs, RMBS, CMBS, ABS, emerging market debt, FX and interest rate products, either through experience as a quantitative analyst or trader.
    • Experience developing or using structural or reduced form probability of default (PD) models for corporate credit
    • Significant experience performing independent empirical research and applying state of the art econometric techniques to fixed income markets and securities.
    • Knowledge of capital adequacy standards such as Basel III and Solvency II, as well as portfolio optimization under capital adequacy standards.
    • 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 similar software applications/languages.
    • Strong verbal and written communication skills.

    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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