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Quantitative Risk Manager
(more about Western Asset)
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Unfortunately Western Asset has archived this job posting, they are no longer accepting applications.

Quantitative Risk Manager

Job Description

As a Quantitative Risk Manager, you will be responsible for quantitative modeling, risk analysis and risk management of fixed income portfolios and strategies encompassing corporate credit – both investment grade and high yield, bank loans, securitized/structured products, CLOs, emerging market debt, FX and interest rate products. You have significant experience performing independent empirical research and applying state of the art econometric techniques to fixed income markets and securities. To thrive in this role, you can easily balance putting out fires and helping us consider the long view by building tools that help us analyze risk.

 

What you will do

  • Design and develop pricing, analytic and quantitative risk models for fixed income assets through the use of vendor and internally developed quantitative tools.
  • 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 periodic 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.
  • Collaborate with 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.

 What you will bring

  • Masters or PhD in a quantitative field, e.g. Computer Science, Data Science, Economics, Finance or Financial Engineering, Engineering, Mathematics, Physics, etc.
  • Experience using or developing default models for corporate credit
  • A minimum of 5 years of experience working as a quantitative analyst or risk manager in the financial services industry – experience at an asset manager, hedge fund or investment bank is an added plus
  • Proficiency in risk-factor modeling
  • Demonstrated technical acumen with MS Excel/VBA, SQL, SAS, Python, R, or other similar software applications/languages
  • Strong verbal and written communication skills

 

Expected base salary for the role will generally be between $179,000 and $205,000 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.

 

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.

 

How to Apply

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EQUAL EMPLOYMENT OPPORTUNITY ("EEO") Western Asset Management is an Equal Opportunity/Affirmative Action 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.
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