Associate LDI Portfolio Manager

Location
Chicago, Illinois
Salary
Commensurate with experience
Posted
Mar 01, 2021
Closes
Mar 31, 2021
Industry Sector
Asset Management
Employment Type
Full Time

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)

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