Quantitative Derivative Portfolio Manager

MassMutual • Boston, MA

4d • Onsite

About The Position

The Quantitative Credit/Derivative Portfolio Manager will be responsible for Credit hedging across the MassMutual General Investment Account. This includes performing daily portfolio management activities, such as rebalancing risk and evaluating tactical relative-value tradeoffs, while also contributing to the research of alternative hedging strategies employing simulation and back-testing techniques. The Quantitative Credit/Derivative Portfolio Manager will work closely with teams across Investment Management, Barings, Enterprise Risk, Corporate Finance, and Strategic Distribution.

Requirements

• 7+ years of derivative market experience in at least one of the following: listed and OTC equity options, TRS, futures/forwards, CDX, interest rate swaps/swaptions, and cross- currency swaps
• 7+ years of market expertise in fixed income portfolio management, with exposure to structured & private credit
• Bachelors in Math, Financial Engineering, Computer Science or related field
• python / SQL required

Nice To Haves

• 10+ years of derivative market experience
• Advanced quantitative degree (MFE, PhD)
• Strong background/understanding of capital markets and financial instruments
• Strong quantitative expertise: statistics, mathematics, and computer science
• Ability to develop market views in Credit and Fixed-Income
• Strong understanding of portfolio management and ALM
• Deep knowledge of derivatives in all dimensions – risk, economics, tax, accounting
• Strong background/understanding of capital markets and financial instruments
• Strong understanding of portfolio management and ALM in a life insurance company
• Strong communication skills and ability to convey technical topics to non-experts

Responsibilities

• Responsible for daily portfolio management activities like execution of new hedges, roll of existing ones, and trade input as well as review of current risk, recent activity, attribution, profit and loss, and modeling of credit exposure in different portfolios
• Identify market opportunities, analyze alternative hedging strategies, propose and implement frameworks for relative value positioning, and suggest transactions, to increase hedge effectiveness for portfolio management
• Lead bespoke simulation, back-testing and/or other research projects
• Collaborate with colleagues in other areas of MassMutual as needed – enterprise risk, corporate actuarial, finance and accounting, etc.

Benefits

• competitive salaries
• incentive and bonus opportunities
• bonus target or in a sales-focused role a Variable Incentive Compensation component
• industry leading pay and benefits

What This Job Offers

• Job Type: Full-time
• Career Level: Senior