Associate LDI Portfolio Manager
- Employer
- Legal & General Investment Management America
- Location
- Chicago, Illinois
- Salary
- Commensurate with experience
- Closing date
- Mar 31, 2021
View more
- Job Function
- Portfolio Management: Fixed Income
- Industry Sector
- Asset Management
- Employment Type
- Full Time
Job Details
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
- Support the day-to-day maintenance of the teams LDI risk system
- Deliver robust and easily accessible analysis of all 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 supports 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
- Masters or PhD in a technical discipline (Financial Engineering, Statistics, Computer Science, Mathematics, etc)
- CFA or actuarial qualification preferred
- 1-3 years of experience in Fixed Income quantitative analytics at an investment bank or asset management firm; knowledge or prior experience on LDI strategies preferred
- Strong technical knowledge with C#/Java/C++, SQL, VBA, Matlab, SVN, and Python
- 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
- Experience of desk quant support on trading floors preferred
- Good communication skills, independent work ethic and self-starter
As an EOE employer, Legal & General Investment Management America will extend equal opportunity to all employees and applicants for employment without regard to race, color, religion, gender, sexual orientation, gender identity, ancestry, national origin, age, disability, medical condition, genetic information, marital status, pregnancy, military status, and/or any other characteristic protected under applicable federal, state or local laws governing nondiscrimination in employment. (2020)
Company
Legal & General Investment Management America, Inc. (LGIMA) was founded in 2006 and specializes in fixed income, liability driven investment (LDI) solutions and index capabilities for the US institutional market.* We offer a range of strategies to help our clients manage their investment objectives including investment grade fixed income, which can range from market-based alpha-oriented strategies to those that are designed to be more liability-centric, derivative overlays, and indexed solutions.
Our solutions-focused culture is geared toward customization for our clients. As a firm, LGIMA has professional resources dedicated to insuring that our credit portfolios are structured in a risk-conscious manner, but can still have the ability to produce excess returns over an appropriate, sometimes custom, benchmark. Our index fund management offering extends well beyond the standard market cap weighted indices. We have the capability to manage index funds against various equity indices.
As of December 31, 2019, LGIMA managed over $219 billion in assets. Our clients include pension plans, foundations & endowments, unions, and public funds.
- Telephone
- 312-964-3108
- Location
-
71 S. Wacker Drive
Suite 800
Chicago
IL
60606
US
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