Wellington Management offers comprehensive investment management capabilities that span nearly all segments of the global capital markets. Our investment solutions, tailored to the unique return and risk objectives of institutional clients in more than 60 countries, draw on a robust body of proprietary research and a collaborative culture that encourages independent thought and healthy debate. As a private partnership, we believe our ownership structure fosters a long-term view that aligns our perspectives with those of our clients.
We are transitioning to a hybrid work environment where both remote work and the office play a critical role. Our vision is a future where all employees are empowered to work flexibly to drive the best outcomes for our clients. Flexible work is a mindset and a core value. Our employees are encouraged to work remotely two days a week as a standard practice and will have flexibility in terms of working hours. POSITION
Wellington Management Company, LLP is seeking a quantitative risk neutral valuation specialist in fixed income, fx and derivative modeling to join the Global Risk and Analytics (GRA) group within Wellington Investment Science. GRA is responsible for investment risk modeling and measurement, security analytics, and investor risk engagement and oversight.
The Quantitative Strategist will build models for fixed income, fx and derivative instruments, conduct empirical research on security valuation and risk premia, and serve as a subject matter expert on risk neutral valuation for investors, product management, and the Global Risk team. The Strategist will work closely with Wellington investors to facilitate the use of quantitative models in portfolio construction. This is a high impact, high leverage role within a strong team with a broad and critical set of responsibilities. The Strategist will work on developed and emerging sovereign yield curve construction; callable bond valuation; credit hazard rate modeling; fixed income, fx and equity derivatives valuation, and modeling for relevant market data (e.g., volatility surfaces, hazard rate curve, SOFR/OIS and swap curve construction, FX implied yield modeling).
Success in this role requires the ability to conduct rigorous quantitative research, strong knowledge of risk neutral valuation, term structure modeling, derivatives valuation, the ability to work with and direct IT teams to build production infrastructure process for measuring security analytics, and an appetite for collaborating with investors to integrate quantitative models into their investment process.
The candidate should be able to work independently and within a team environment. Good communication skills are critical as the successful candidate will individually manage projects and will also interact closely with investment teams, product management and business professionals. QUALIFICATIONS
The ideal candidate will have both a strong quantitative background coupled with an understanding of finance/economics.
• Advanced degree in finance, econometrics, quantitative field (math, statistics, physics, electrical engineering, operations research)
• Strong understanding of asset pricing theory
• 7-15 years' experience with fixed income, fx and derivative modeling; understanding of market conventions for yield curve construction and quotations of standard rates, credit and fx derivatives; experience of equity derivatives modeling is a plus
• Strong technical background for prototyping and developing models and performing statistical analysis. Java, Python, SQL, C++
• Experience with Numerix or Calypso a plus SKILLS JOB TITLE
Quantitative Strategist LOCATION
As an equal opportunity employer, Wellington Management ensures that all qualified applicants will receive equal consideration for employment without regard to race, color, sex, sexual orientation, gender identity, gender expression, religion, creed, national origin, age, ancestry, disability (physical or mental), medical condition, citizenship, marital status, pregnancy, veteran or military status, genetic information or any other characteristic protected by applicable law . If you are a candidate with a disability, or are assisting a candidate with a disability, and require an accommodation to apply for one of our jobs, please email us at GMCANINQ@wellington.com .