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Quantitative Risk Analyst/Manager

Company: Western Asset Management Company Limited
Location: Pasadena
Posted on: September 21, 2022

Job Description:

Job Description
As a Quantitative Risk Analyst/Manager, you will be responsible for quantitative modeling, risk analysis and risk management of fixed income portfolios and strategies encompassing corporate credit, 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 period 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 2 - 5 years of experience working as a quantitative analyst or risk manager in the financial services industry.
    • 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.

      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.

Keywords: Western Asset Management Company Limited, Pasadena , Quantitative Risk Analyst/Manager, Executive , Pasadena, California

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