| Job Description: |
| Overview: |
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Western Asset Management, a large fixed income investment manager headquartered in Pasadena, California and with offices worldwide, is seeking quantitative modelers with experience in trading and/or portfolio management to join its quantitative risk modeling team in Pasadena.
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| Responsibilities: |
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The successful candidate will be Western's main risk resource for all Yield Curve/TIPS products. He or she will be responsible for creating or vetting valuation models for every Yield Curve/TIPS instrument owned or considered by Western. The models will drive Western's risk engine. In addition, the successful candidate will also be expected to understand Yield Curve/TIPS strategy on a more qualitative level, and to have extensive practical experience with Yield Curve/TIPS instruments in a trading and/or portfolio management environment.
Experience with as many of the following as possible: Risk analysis and valuation modeling of interest rate and inflation-linked instruments and strategies. Knowledge of interest rate processes such as BGM, HJM, Hull-White. Rate derivatives such as caps, floors, and collars. CTD analysis and modeling of swap spreads. Inflation-linked instrument modeling with economic models such as Taylor rule, output gap, Okun's Law, PPP; quantitative modeling such as affine Gaussian latent-factor models. Modeling liability driven investment risk.
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| Qualifications: |
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The successful candidate will have a Ph.D. or Master's degree in a quantitative discipline with a minimum of at least five years' experience as a "desk quant," trader, trade analysis support, risk manager, portfolio analyst, or portfolio manager. Experience with model development, testing, and implementation, preferably experience with SAS, Matlab, FinCad or other modeling/statistical software. A detailed understanding of fixed income markets, trading and/or portfolio management processes, practical business applications and ability to articulate ideas and develop recommendations under uncertainty and regarding "grey areas", and ability to obtain data and information from disparate sources, link and analyze the information, perform data integrity checks, and conduct analysis.
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