Quantitative Risk Analyst - (Los Angeles, CA)

Overview The quantitative risk analyst/risk manager will be responsible for quantitative modeling, risk analysis and risk management of fixed income portfolios and strategies encompassing corporate credit, bank loans, securitized/structured products, CLOs, emerging market debt, FX and interest rate products. Responsibilities Design and develop pricing, analytic and quantitative risk models for fixed income assets through the use of vendor and internally developed quantitative tools. Proficiency in risk-factor modeling Assist in the development of probability of default (PD) and LGD (loss given default) models for corporate credit and loans. Monitor risk in assigned strategies/portfolios and perform period risk reviews with portfolio managers. Perform return and return volatility attribution for assigned strategies/portfolios. Conduct independent research into the sources of risk and return in assigned strategies/portfolios and work with portfolio managers to incorporate research into investment strategies.