From a friend in the business — Andrew Carter.
I’m hiring for a junior position right now, based in Chicago. It’s a highly quant based role, and while I’ve put down experience required, I would consider some exceptional candidates out of a Masters program.
Job Title: Associate LDI Portfolio Manager
- The role is an associate portfolio manager/desk quant within the US LDI Portfolio Management team
- The primary function is two-fold: 1) to provide daily desk support; and build quantitative models/tools for pricing, risk management and portfolio construction; 2) assist more senior PMs to manage the LDI funds to hedge fixed income risks and enhance returns
- Deliver robust and easily accessible analysis of all solution mandates under management
- Model the risks of using different asset strategies in Fixed Income and, where appropriate, other asset classes to match liabilities and other risk exposures
- Develop pricing, risk and portfolio construction analytic tools
- Provide quantitative support for new product developments and any relevant projects
- Ensure relevant instruments are priced and analyzed in line with market conventions and methods, with analytics utilized in a way that allows new products to be managed robustly and in a risk-controlled environment
- 1-3 years of experience in Fixed Income quantitative analytics at an investment bank or asset management firm
- Strong technical knowledge with C#/Java/C++, SQL, VBA, Matlab, SVN
- Solid understanding of US fixed income instruments and market. Knowledge of ALM, and general asset allocation theory
- Strong knowledge of developing and implementing financial quant models in production environment
- Good communication skills, independent work ethic, and a self-starter
- Masters or PhD in a technical discipline (Financial Engineering, Statistics, Computer Science, Mathematics, etc.)
- Knowledge or prior experience on LDI (Liability Driven Investment) strategies
- Experience of desk quant support on trading floors
- Ability to work with different teams across the firm (investment areas, IT, risk reporting, data)
- Project management skills
How to apply for the job?
Email Andrew at andrew.carter at lgima dot com
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