Quantitative Analytics & Risk Modeling Analyst

WHO IS WESTERN ASSET

Western Asset Management focuses on supporting our clients’ financial goals and creating positive outcomes for all kinds of people. Primarily a globally integrated fixed-income manager, we source ideas and investment solutions worldwide, with an emphasis on long-term fundamental value investing, using multiple diversified strategies.

At our firm, we employ some of the best analytical minds to monitor investment risks and develop innovative technological platforms and tools. As a Quantitative Risk Analyst/Modeler, you will join a highly skilled and detail-oriented team involved in creating, enhancing, and using cutting-edge quantitative risk and investment models. You will support the firm’s risk management efforts in development, research, and production, and play a key role in the development and enhancement of our proprietary risk system, WISER.

Key Responsibilities:

• Utilize quantitative methods to identify, measure, and analyze portfolio risk. Develop models for potential risk exposures and their impact on the portfolios.
• Research, build, and optimize quantitative models for analytics and risk for various 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.
• Continuously support the firm’s risk management system in production, development, and risk reports.
• Work closely with risk managers, portfolio managers, and client services to provide data and statistical analysis on new projects and initiatives. Provide quantitative support for cross-functional projects.
• Maintain, validate, and enhance the current risk methodology and provide insights for continuous improvement of risk models.
• Implement new tools and quantitative techniques to improve and enhance the accuracy and efficiency of current methodology.
• Explain results, including sources of risk, to various constituencies including portfolio managers, risk managers, and client service executives.
• Perform quality assurance on analysis results. Thoroughly investigate and diagnose issues, and follow up with data owners, developers, modelers, and risk managers to resolve issues in a timely fashion.
• Identify opportunities to enhance the accuracy, efficiency, and scalability of analyses and participate in the implementation of automated solutions.
• Perform analyses and create custom reports using Python, Excel, SQL, and Tableau.
• Support various market and risk committees by providing data analysis and reports.
• Analyze, specify, and test enhancements to data, models, and processes.
• Assist the portfolio risk management effort by analyzing and communicating your views and risk concerns with the Risk and Portfolio Managers to assist and improve the portfolio construction and asset allocation process.

Qualifications:

• An advanced degree, such as MFE/MS in Finance or another quantitative field, is required. A Ph.D. in a quantitative area is highly desirable.
• Quantitative modeling expertise in Fixed Income Analytics, Monte-Carlo Simulation, Term Structure Models, Time Series, Relative Value, Numerical Methods, etc.
• Expertise and 3 years of commercial experience in quantitative model building and validation, ideally in financial markets.
• Strong technological acumen and programming skills, including prototype coding and validation in Python, MATLAB, VBA, SAS, R, etc. Expertise and 5 years of professional experience in Python is preferred.
• Quantitative experience working in a fixed income risk/research/modeling/trading/portfolio management group, or similar. Knowledge of vendor systems such as Bloomberg or YieldBook.
• Must be professional, detail-oriented, organized, proactive, and possess the ability to perform in a fast-paced, high-pressure, team environment.

Expected base salary for the role will generally be between $110,000 and $140,000 per year at the commencement of employment. However, base salary if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include other forms of compensation such as, discretionary bonuses, short and long-term incentive packages, and Company-sponsored benefit programs. 

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.

Our Commitment to Diversity

We believe a diverse and cohesive workforce promotes the formation of different ideas and viewpoints, enhances independent thinking, and helps create a work environment where the best ideas are identified and implemented. We are committed to unlocking the power of diversity through an inclusive environment that affords everyone the opportunity to develop individually, advance professionally and participate fully in the Firm’s success.

EQUAL EMPLOYMENT OPPORTUNITY ("EEO")

Western Asset Management is an Equal Opportunity/AffirmativeAction Employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, citizenship, age, marital status, medical condition (including pregnancy and related conditions), physical or mental disability, protected veteran status, and/or any other characteristic protected by law.

Link to Equal Employment Opportunity Statement

Link to Pay Transparency Notice

Link to Equal Employment Opportunity Poster

Link to Equal Employment Opportunity Poster Supplement

Link to Vietnam Era Veterans Readjustment Assistance Act

Join our talent pool

We’re always on the look-out for creative, curious, collaborative, and entrepreneurial individuals. Even if you don’t see any current opportunities that match your skills, we’d still like to hear from you. Sign up for our Talent Pool and we’ll get in touch when something suitable comes up.

Register today and build your own searchable profile ready for our hiring managers to view. All you need is a few basic details and an up-to-date copy of your resume ready to upload. We support .rtf, .docx, .doc, .txt and .pdf files, provided they are smaller than 2MB.

Salary : $110,000 - $140,000