Rates and FX Quantitative Analyst

Less than 5 years experience  • 

Salary depends on experience
Posted on 03/21/18
Less than 5 years experience
Salary depends on experience
Posted on 03/21/18


Wellington Management Company, LLP is seeking a quantitativevaluation specialist in Rates and FX 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 investorrisk engagement and oversight.

The Rates and FX Quantitative Analyst will oversee and build Wellington’s models for interest rates and fx derivatives, conduct empirical research on securityvaluation and risk premia, and serve as a subject matter expert on risk neutral 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 developed and emerging sovereign yield curve construction and bond and futures valuation, rate derivatives valuation, fx derivatives valuation, and modeling for relevant market data (e.g., volatility surfaces, 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.


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
  • 3-7 years experience with interest rate and derivative modeling; understanding of market conventions for yield curve construction and quotations of standard rates and fx derivatives.
  • Strong technical background for prototyping and developing models and performing statistical analysis. Java, C++, Python, SQL
  • Experience with Numerix or Calypso a plus


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