Work at the heart of sound investment
At Western Asset, our attitude is entrepreneurial but our approach to managing other people’s money is always measured, which is why we place such a high value on effective risk management.
We employ some of the best analytical minds to keep an eye on investment risks and to develop innovative technological platforms and tools for monitoring that risk. You could be one of them. We’ll help you build an in-depth knowledge of risk management that provides a solid foundation for future specialization or a broader career in many different areas of fixed-income investment, from investment management to client-facing roles.
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.
What you will do
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
Where analytical ability comes first
Bring us exceptional quantitative reasoning and analytical skills and we’ll create a role to suit you. While knowledge of finance is welcome, the ability to gather, manage and interrogate data is what really counts. This is a highly collaborative, collegiate department where self-motivation is vital, and shared problem-solving and learning is supported. We encourage initiative and innovation when it comes to developing new systems and methodologies to improve our risk management. At the same time, we depend on building strong relationships with other teams, and value a diplomatic approach to addressing issues around portfolio performance and risk.
What you will bring
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.
About Western Asset
At Western Asset we’re saying hello to the future. Committed to being the leading fixed-income investment management firm in the world, we’re investing in new technologies, methodologies and markets. We’re also investing in our people. Our business is guided by a belief in doing the right thing: that if we treat our clients and colleagues with fairness and respect, success will follow. We’re building on our reputation and resources with an entrepreneurial approach that drives innovation. Every day is an opportunity for us to get better by making the most of the possibilities that our people and ideas can bring.