• Quantitative Analyst and Risk Modeler

    Location US-CA-Pasadena
    Category
    Risk Management
  • Overview

    The Quantitative Analyst/Risk Modeler (the Quant) will be involved in creating cutting edge quant risk and investment models including producing accurate, model based, analytics for well over 100,000 instruments followed by Western Asset and building and supporting a proprietary risk system called WISER. The scope encompasses virtually all aspects of the global fixed income markets including derivatives. Role requires a strong quantitative background including statistical programming skills, a keen understanding of the fixed income markets, market theory, and portfolio construction, a deep knowledge of statistics and working experience with machine learning.

     

    The Quant will not only develop models but also be responsible for model implementation and works more independently on: sourcing, validation and scrubbing of source data; development and programming of quantitative algorithms; testing, monitoring and tuning developed methods; and documenting and supporting implemented strategies.

     

    Along with the specified responsibilities and competencies, we are looking for a self-motivated and detail oriented individual who possesses a positive, “can do” attitude, works effectively as a team member in a collaborative environment, and has a keen interest in a quantitative career in the financial markets.

    Responsibilities

    • Research, build, implement, test, and optimize quantitative models for analytics and risk 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. Interface with several of the firm’s major proprietary and vendor related systems and applications
    • Utilize machine learning and other statistical techniques to develop (and enhance) modeling, algorithmic strategies by writing code using statistical programming languages (SAS, Python, R)
    • Work proactively with the portfolio management teams to identify quantitative and risk-related information required to assist in the portfolio management effort. Participate in team efforts to identify potential alpha generating investment theses
    • Work proactively with the client service team and other divisions to identify and disseminate risk-related information required to acquire, inform, and retain clients

    Qualifications

    • 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.
    • Expertise and 2-5 years of commercial experience in the application of data mining and machine learning techniques, ideally in financial markets
    • Strong technological acumen and programming: knowledge of 4GL languages like SAS, Matlab, R, etc.
    • Experience working in a fixed income trading or portfolio management group. Knowledge of Bloomberg, and vendor system
    • 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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