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