Security Risk Analyst
Overview:
The Security Risk Analyst will be involved in producing accurate single security analytics for the well over 100,000 instruments followed by Western Asset Management. These instruments comprise virtually all aspects of the global fixed income markets. Producing these analytics will require a deep understanding of the fixed income markets and of quantitative models. Daily production of measures such as duration, spread duration, weighted average life, and yields is accomplished by using a variety of vendor and custom models. The Security Risk Analyst will be responsible for a mix of production tasks – insuring that the analysis tools are run accurately and on time – and original research. The original research can range from investigating unusual analytics, to modeling new instruments, to assisting the senior risk management subject matter experts with projects studying and creating cutting-edge models of complex securities and of portfolio strategies.
Responsibilities:
•Work with the senior risk managers to identify risk-related information and emerging risk issues
•Work proactively with the portfolio management teams to identify risk-related information required to assist in the portfolio management effort.
•Work proactively with the client service team to identify risk-related information required to acquire, inform, and retain clients.
•Perform original analyses, both quantitative and qualitative, of risk issues.
•Ensure the timely and accurate production of security risk analytics
•Interface with several of the firm’s major proprietary and vendor related systems and applications
•Interface across departments to resolve any issues as they pertain to analytics and data integrity
•Work closely with other areas of the firm to accurately and efficiently disseminate analytics information
Competencies:
•Strong technological acumen; advanced Excel, Access queries, and SQL
•Knowledge of Bloomberg API, vendor risk systems (Barclays Point, Citi Yield Book) are plusses
•Knowledge of 4GL languages like SAS, Matlab, R, SPSS desired
•Experience working in a fixed income trading or portfolio management group
•Excellent interpersonal skills, including verbal and written communication skills
•Must be professional, detail-oriented, organized, proactive and possess the ability to perform in a fast-paced, high- pressure, team environment
Qualifications:
Advanced degree in a quantitative field required
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