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
Overview:
- 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
Responsibilities:
- 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
Qualifications:
REQUIRED
- 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.)
PREFERRED EXPERIENCE
- 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
Compliance stuff
This e-mail (and any attachments) may contain privileged and/or confidential information. If you are not the intended recipient, please do not disclose, copy, distribute, disseminate or take any action in reliance on it. If you have received this message in error, please reply and tell us and then delete it. Should you wish to communicate with us by e-mail, we cannot guarantee the security of any data outside our own computer systems.
Legal & General Investment Management America, Inc. (CRD no 149156, SEC no 801-69862) is registered with the U.S. Securities & Exchange Commission, with a registered office at 71 South Wacker Drive, Suite 800, Chicago Illinois, 60606. Any information contained in this message may be subject to applicable terms and conditions and must not be construed as giving investment advice within or outside the United States or the United Kingdom. Telephone conversations may be recorded for your protection and to ensure the quality of service.
Our affiliates, Legal & General Investment Management Limited (no 2091894), LGV Capital Limited (no 2091268), Legal & General Property Partners (Operator) Limited (no 5522016), LGIM (International) Limited (no 7716001), Legal & General Property Limited (no 2091897), and LGIM Corporate Director Limited (no 7105051) are authorized and regulated by the Financial Conduct Authority in the U.K. Legal & General Assurance (Pensions Management) Limited (no 1006112) is also regulated by the Financial Conduct Authority and is regulated and authorized by the Prudential Regulation Authority. All entities are registered in England & Wales, with a registered office at One Coleman Street, London, EC2R 5AA. Legal & General Group PLC (no: 1417162) also has its registered office at One Coleman Street, London, EC2R 5AA.
About the Author: Wesley Gray, PhD
—
Important Disclosures
For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice. Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.
The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).
Join thousands of other readers and subscribe to our blog.