| 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 MBS/ABS products. He or she will be responsible for creating or vetting valuation models for every MBS/ABS 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 MBS/ABS strategy on a more qualitative level, and to have extensive practical experience with MBS/ABS instruments in a trading and/or portfolio management environment.
Experience with as many of the following as possible: Risk analysis and valuation modeling of agency MBS. Should be adept with state of the art mortgage prepayment, CMO structures, IOs, and POs. Analysis and valuation of mortgage TBAs and rolls; MTA, neg-am, option ARM, alt-A, and other mortgage forms. Experience with mortgage and ABS credit also a plus, including auto, student loan, credit card, etc., whole loan mortgages, and CDOs; historical simulation, correlation studies and risk sensitivity studies. Default and implied default, OAS, MBS and ABS credit, CMO credit structures, MSR, and tranched credit modeling.
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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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