Senior Derivatives Analytics Analyst
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. OVERVIEW
As part the Analytics Data team, the Derivative Analytics Data Analyst will be responsible for the overall process related to pricing and analytic data (e.g. duration, delta) used as inputs to the investment process and the oversight and maintenance of market data (e.g., yield curves, volatilities) used in their production. The ideal candidate is highly knowledgeable regarding both OTC derivative valuation and fixed income analytics, is detail oriented, has a strong sense of responsibility, works well independently but also as part of a team, and is knowledgeable of different systems tools and workflows to analyze and control data. The Analyst will work closely with other members of Portfolio Data, Trading, Portfolio Management, and Information Technology. RESPONSIBILITIES
- Execute daily validation and remediation procedures, ensuring the integrity and consistency of pricing data and analytics across multiple platforms along with the integrity and consistency of various market data inputs, including yield curves, credit curves, and implied volatilities.
- Assist manager, team, and IT in the development of additional utilities needed to automate, control, validate, and research data issues across derivative and analytics data platforms to increase productivity, develop scalability, improve data quality, and augment controls.
- Engage with internal and external pricing and analytics providers to resolve issues and ensure best sourcing of data from preferred vendors.
- Timely, accurate, and thorough support of complex and routine inquiries initiated by portfolio management, trading, performance, and client facing teams.
The qualifications of the successful candidate for this position are likely to include:
- College degree and three to five years of industry experience with progress toward a CFA or other quantitative finance program preferred.
- Strong understanding of various OTC derivatives products and strategies including: CDS, IRS, Swaptions, CDS Index Options, Basis Swaps, Put-Call Parity, Volatility, Greeks, Black-Scholes, Normal vs. Lognormal Vols, Forward Rates, Bootstrapping / Curve Stripping
- Strong understanding of various Fixed Income products including ABS, MBS, CMBS, Emerging Market Debt, currency analysis, high-yield and investment grade debt, sovereign debt
- 2 years experience specifically related to derivatives, fixed income analytics, and cash flow analysis (including zero rates, spot rates, par rates, discounting, duration, yield/spread analysis, OAS, z-spread).
- Skilled in the use of SQL, VBA, Python, R or other programming languages
- Demonstrated quantitative data skills in areas such as statistics and financial analysis are preferred.
- Familiarity with standard valuation models and sources of data for a range of OTC derivatives
- Strong understanding of internal and external calculation libraries such as Bloomberg and various API modeling within
- Exhibits a proactive nature and approach to learning, problem identification, and resolution. Desire to succeed and the ability to self-motivate
- Team focused with ability to learn from and share knowledge with other analysts
- Strong organizational, prioritization, and multi-tasking skills
- Ability to think and act independently and thrive in a fast-pace work environment
- Thoroughness, attention to detail, and strong problem solving skills
- Quick learner with ability to apply business and industry knowledge
- Good written, oral, and interpersonal skills
Not sure you meet 100% of our qualifications? That's ok. If you believe that you could excel in this role, we encourage you to apply and welcome a chance to review your background. We are dedicated to building and maintaining a diversified workforce and considering a broad array of candidates with a variety of skill, workplace experiences, and backgrounds.
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 .