Fixed Income Quantitative Analyst
Position Description:
The Company
Tracing our roots to 1928, Wellington Management Company, LLP is one of the world's largest independent investment management firms. With US$746 billion in assets under management as of 30 November 2012, we serve as a trusted adviser to institutional clients and mutual fund sponsors in over 50 countries. Our innovative investment solutions are built on the strength of proprietary, independent research and span nearly all segments of the global capital markets, including equity, fixed income, multi-asset, and alternative strategies. As a private partnership whose sole business is investment management, our long-term views and interests are aligned with those of our clients. We are committed to attracting a talented and diverse workforce, and to fostering an open, collaborative culture of inclusivity because we believe multiple perspectives lead to more informed investment and business decisions. We welcome people with diverse life experiences, fresh ideas, and specialized subject-matter expertise.
The Position
Wellington Management Company, LLP is seeking a Quantitative Analyst to focus on the structured finance investment process and development of proprietary credit models. The role of the Quantitative Analyst is to use quantitative techniques to identify investment opportunities and manage risk. The scope of the work may include any or all the following:
•Develop and maintain a process for forecasting collateral and servicer behavior (defaults, recoveries, prepayments, modifications, etc.) under given macroeconomic outcomes.
•Assess the impact of changes in specific factors related to collateral backing RMBS, CMBS and ABS securitizations by utilizing a flexible modeling process
•Demonstrate a high quality of projections using comparisons versus historic collateral behavior and other industry model projections, as well as back testing.
•Communicate analysis results and investment recommendations for broad consumption by other investors.
The Quantitative Analyst for Structured Finance will work closely with the members of the Structured Finance strategy group and with the Structured Research team. The Quantitative Analyst for Structured Finance will also work with the Investment Systems Group in order to facilitate the development of systems that enhance the efficiency and scalability of the Structured Finance investment process.
Qualifications
Ideal qualifications for this position would include, among others:
•PhD in Finance and/or MS in Financial Engineering
•Minimum of four years of experience in fixed income
•Proven programming and modeling skills (Intex API and loan level data management experience a plus)
•Excellent communication and interpersonal skills and passion for the markets
•Ability to work independently as well as in a team environment
•Highly pragmatic and solutions-oriented attitude
•Strong understanding of key economic drivers and loan performance dynamics (residential and commercial real estate as well as other consumer oriented products)
•Ability to build models from scratch, as opposed to off-the-shelf customization.
•Must be able to communicate effectively with IT professionals, other quantitative generalists, and fundamentally oriented credit analysts.
•Strong spreadsheet, programming and data management (SQL) skills
•Basic fixed income analysis skills required, CFA a plus.
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