Quantitative Strategist, Mortgage-Backed Securities (MBS)
About The Position
Wellington is seeking a quantitative risk-neutral valuation specialist in fixed income, MBS, and structured products modeling to join the Risk and Analytics Research team within Wellington Investment Risk. The team is responsible for investment analytics and risk modeling, partnering closely with investors and risk professionals to embed analytics and models into investment decision workflows, and working with technology teams to deliver scalable, enterprise-level solutions. The Quantitative Strategist will develop models for fixed income, agency MBS, and structured product instruments; conduct empirical research on security valuation and risk premia; and serve as a subject matter expert on risk-neutral valuation for investors, product management, and the Investment Risk team. The strategist will work closely with Wellington investors to facilitate the use of quantitative models in investment decisions and portfolio construction. This is a high-impact, high-leverage role with broad responsibilities spanning quantitative research, investment analytics, investor engagement, and production implementation. Success in this role requires rigorous quantitative research skills, deep knowledge of risk-neutral valuation, mortgage modeling, and derivatives valuation, as well as the ability to partner with technology teams to build scalable production infrastructure for security analytics. The successful candidate will also enjoy collaborating directly with investors and integrating quantitative models into real-world investment processes. The candidate should be able to work independently and thrive in a team-oriented environment. Strong communication skills are essential, as the role involves leading research initiatives while interacting closely with investment teams, product management, risk professionals, and technology partners.
Requirements
- 5–15 years of experience in fixed income and mortgage modeling
- Strong understanding of mortgage market dynamics, including TBAs, pools, and agency CMOs
- Strong understanding of asset pricing theory
- Advanced degree in finance, econometrics, or quantitative discipline (e.g., mathematics, statistics, physics, electrical engineering, operations research)
- Strong technical background in model development, statistical analysis, and prototyping
- Experience with Python, Java, SQL, and/or C++
Nice To Haves
- Experience with structured products
- Other credentials such as CFA/CAIA may be relevant though not required
- Experience with Yield Book, Bloomberg OAS models, and the eMBS dataset is a plus
Responsibilities
- Develop models for fixed income, agency MBS, and structured product instruments
- Conduct empirical research on security valuation and risk premia
- Serve as a subject matter expert on risk-neutral valuation for investors, product management, and the Investment Risk team
- Work closely with Wellington investors to facilitate the use of quantitative models in investment decisions and portfolio construction
- Partner with technology teams to build scalable production infrastructure for security analytics
- Collaborate directly with investors and integrate quantitative models into real-world investment processes
- Lead research initiatives while interacting closely with investment teams, product management, risk professionals, and technology partners
Benefits
- retirement plan
- health and wellbeing
- dental
- vision
- pharmacy coverage
- health savings account
- flexible spending accounts
- commuter program
- employee assistance program
- life and disability insurance
- adoption assistance
- back-up childcare
- tuition/CFA reimbursement
- paid time off (leave of absence, paid holidays, volunteer, sick and vacation time)
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What This Job Offers
Job Type
Full-time
Career Level
Senior
