The risk analyst/manager will participate in the risk management of all money market-liquidity and municipal strategies and portfolios. The risk analyst/manager’s primary responsibility lies in performing in-depth analysis and developing quantitative risk models to independently identify, measure, assess, and ultimately control investment risk in the money market/liquidity (MMF/Liquidity) and municipal (Muni) strategies and portfolios.
What you will do
- Design and develop quantitative risk models to measure and quantify risk in MMF/Liquidity and Muni strategies.
- Perform stress testing and scenario analysis to assess tail risks.
- Ensure MMF/Liquidity and Muni security analytics – duration, spread duration, weighted-average life, etc. are accurate.
- Perform P&L attribution for MMF/Liquidity and Muni accounts and identify ex-post sources of risk and return.
- Conduct periodic risk reviews with the relevant investment teams.
- Work with MMF/Liquidity and Muni investment teams to incorporate risk analysis in their investment strategies.
- Respond to questions/requests from client services, investment management, risk management, and external clients on risk and quantitative issues.
- Represent Western Asset and the Risk team in client meetings and external forums.
Where analytical ability comes first
Bring us exceptional quantitative reasoning and analytical skills and we’ll create a role to suit you. While knowledge of finance is welcome, the ability to gather, manage and interrogate data is what really counts. This is a highly collaborative, collegiate department where self-motivation is vital, and shared problem-solving and learning is supported. We encourage initiative and innovation when it comes to developing new systems and methodologies to improve our risk management. At the same time, we depend on building strong relationships with other teams, and value a diplomatic approach to addressing issues around portfolio performance and risk.
What you will bring
- A PhD or master’s in a quantitative field such as Econometrics, Finance or the Physical Sciences, as well as 3-5 years of relevant work experience.
- Working knowledge and experience analyzing fixed income instruments and strategies with an emphasis on MMF/Liquidity or Muni strategies, either through work as a quantitative analyst or trader.
- Strong empirical, analytic and technical skills.
- Familiarity with third party analytic and risk systems such as Yield Book, Bloomberg PORT, etc.
- Demonstrated technical acumen with MS Excel/VBA, SQL, SAS, Python, R, or other software applications/languages.
- Strong verbal and written communication skills.
- Knowledge and experience in Machine Learning a plus.