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Quantitative Strategist

Wellington Management

Wellington Management

This job is no longer accepting applications

See open jobs at Wellington Management.
New York, NY, USA
Posted on Thursday, February 8, 2024

About Us

Wellington Management offers comprehensive investment management capabilities that span nearly all segments of the global capital markets. Our investment solutions, tailored to the unique return and risk objectives of institutional clients in more than 60 countries, draw on a robust body of proprietary research and a collaborative culture that encourages independent thought and healthy debate. As a private partnership, we believe our ownership structure fosters a long-term view that aligns our perspectives with those of our clients.

About the Role

Company: Wellington Management Company LLP

Location: 799 Broadway, New York, NY 10003

Position Title: Quantitative Strategist

Job Description:

Perform investment risk modeling and measurement, security analytics, and investor risk engagement and oversight. This role requires rigorous quantitative research, strong knowledge of risk neutral valuation, term structure modeling, derivatives valuation, and working with and directing IT teams to build production infrastructure process for measuring security analytics. Specific responsibilities include:

  • Build models for fixed income, FX and derivative instruments, conduct empirical research on security valuation and risk premia, and serve as a subject matter expert on risk neutral valuation for investors, product management, and the Global Risk team.
  • Work closely with Wellington investors to facilitate the use of quantitative models in portfolio construction.
  • Work on developed and emerging sovereign yield curve construction; callable bond valuation; credit hazard rate modeling; fixed income, FX and equity derivatives valuation, and modeling for relevant market data (e.g., volatility surfaces, hazard rate curve, SOFR/OIS and swap curve construction, FX implied yield modeling).

Position is fixed location based in New York City office; however, telecommuting from a home office is allowed.

Job Requirements:

Requires a Master’s degree (or foreign equivalent) in Financial Engineering, Computational Finance, or a directly related field plus five (5) years of experience working with interest rate curve building and volatility modelling for USD and G10 markets at an investment bank or similar financial institution.

Must have five (5) years of experience in each of the following (experience may be gained concurrently):

  • Risk neutral interest rate modeling/asset-pricing theory
  • Interest rate and derivative modeling
  • Market conventions for yield curve construction and quotations of standard rates, credit, and FX derivatives
  • Programming in modern programming languages, including C++, Java, Python, MATLAB, VBA, R, or SQL
  • Prototyping, developing, and performing model statistical analysis using C++, Java, Python, R, or SQL
  • Working with technology team to build robust, large-scale risk and valuation production systems.

Must have two (2) years of experience in each of the following (experience may be gained concurrently):

  • Working with trading desk or portfolio managers to solve time-sensitive investment problems.

40 hours/week, 9:00am-5:00pm, $175,000-225,000/year.

To apply, please submit resume on-line or to GMGlobalMobility@wellington.com (Req. #R90084)

Not sure you meet 100% of our qualifications? That’s ok. If you believe that you could excel in this role, we encourage you to apply and welcome a chance to review your background. We are dedicated to building and maintaining a diversified workforce and considering a broad array of candidates with a variety of skill, workplace experiences, and backgrounds.

As an equal opportunity employer, Wellington Management ensures that all qualified applicants will receive equal consideration for employment without regard to race, color, sex, sexual orientation, gender identity, gender expression, religion, creed, national origin, age, ancestry, disability (physical or mental), medical condition, citizenship, marital status, pregnancy, veteran or military status, genetic information or any other characteristic protected by applicable law. If you are a candidate with a disability, or are assisting a candidate with a disability, and require an accommodation to apply for one of our jobs, please email us at GMWTalentOperations@wellington.com.

This job is no longer accepting applications

See open jobs at Wellington Management.