Quantitative Strategist, Risk Modeling & Research
About The Position
Wellington Management is seeking a multi-asset empirical risk modeling specialist to join the Risk and analytics Research team within Wellington Investment Risk. The team develops quantitative models on risk modeling and investment analytics, partners closely with investors and risk professionals to integrate them into investment decision-making, and works with technology teams to deliver robust, scalable enterprise capabilities. The Quantitative Strategist will lead modeling efforts for Wellington’s proprietary multi-asset risk model covering equity, fixed income, fx, commodity and derivative instruments, conduct empirical research on asset return dynamics, risk premia, factor exposures, and cross-asset risk relationships, and serve as a subject matter expert on risk modeling and measurement for Investment Risk, investors and the product management team. The Strategist will partner directly with risk professionals and investors to ensure quantitative models are appropriately applied in portfolio construction and risk management. This is a high impact, high leverage role within a strong team with a broad and critical set of responsibilities. Areas of focus may include sector specific security return dynamics, measurement of idiosyncratic risk, risk model improvements like shrinkage algorithm, risk premia on implied volatility adjustments etc. Success in this role requires the ability to conduct rigorous quantitative research, strong knowledge of statistical modeling on empirical financial market data, the ability to partner with technology teams to build production infrastructure process for risk model building, implementation, invocation, and an appetite for collaborating with risk managers and investors to integrate quantitative models into their investment process. The candidate should be able to work independently and within a team environment. Good communication skills are critical as the successful candidate will individually manage projects and will also interact closely with risk and investment teams, product management and business professionals.
Requirements
- Advanced degree in finance, econometrics, quantitative field (math, statistics, physics, electrical engineering, operations research)
- Strong understanding of factor-based risk model framework
- 5-15 years’ experience with empirical risk modeling on fixed income, equity, fx and derivatives
- Strong technical background in model development, statistical analysis, and prototyping.
- Experience with Python, Java, SQL, and/or C++.
Nice To Haves
- Experience with MSCI/Barra Equity models is a plus
- Experience with Fixed income valuation models is a plus
Responsibilities
- Lead modeling efforts for Wellington’s proprietary multi-asset risk model covering equity, fixed income, fx, commodity and derivative instruments.
- Conduct empirical research on asset return dynamics, risk premia, factor exposures, and cross-asset risk relationships.
- Serve as a subject matter expert on risk modeling and measurement for Investment Risk, investors and the product management team.
- Partner directly with risk professionals and investors to ensure quantitative models are appropriately applied in portfolio construction and risk management.
- Conduct rigorous quantitative research.
- Build production infrastructure process for risk model building, implementation, invocation.
- Collaborate with risk managers and investors to integrate quantitative models into their investment process.
- Individually manage projects.
- Interact closely with risk and investment teams, product management and business professionals.
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
