Wellington Management Company, LLP is seeking a quantitativevaluation specialist with expertise in credit and credit derivatives 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 investorrisk engagement and oversight.
The Credit RiskQuantitative Analyst will oversee and build Wellington’s securityvaluation models for credit risky bonds and derivatives, conduct empirical research on securityvaluation and risk premia, and serve as a subject matter expert on risk neutral credit valuation for investors, product management, and the Global Risk team. The Analyst will work closely with Wellington investors to facilitate the use of quantitative models in portfolioconstruction. This is a role with a broad and critical set of responsibilities. The Analyst will work on the full range of credit sectors, including IG and HY global corporate bonds, emerging market bonds, U.S. municipal bonds, and credit derivatives.
Success in this role requires the ability to conduct rigorous quantitative research, strong knowledge of risk neutral valuation and OAS modeling for credit, 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.
The ideal candidate will have both a strong quantitative background coupled with an understanding of finance/economics.