MBS Quantitative Strategist — Fixed Income Valuation

UNKNOWN; Boston (MA); Hybrid; USD 120,000 - 225,000; Full time

Job summary

Wellington Management is seeking a Quantitative Strategist to develop models for fixed income, agency MBS, and structured products, with a focus on risk-neutral valuation.

You will conduct empirical research, analyze security valuation and risk premia, and partner with investors to embed quantitative models into investment decision workflows within the Risk and Analytics Research team.

Qualifications

• 5–15 years in fixed income and mortgage modelling.
• Strong understanding of TBAs, pools and agency CMOs.
• Advanced degree in finance, econometrics or quantitative discipline.
• Proficient in Python, Java, SQL, or C++.
• Familiarity with Yield Book or Bloomberg OAS is a plus.

Responsibilities

• Develop models for fixed income, agency MBS and structured products.
• Conduct empirical research on security valuation and risk premia.
• Collaborate with investors and risk professionals to embed analytics and models into investment workflows.

Skills

Fixed income modelling

Mortgage modelling

Risk-neutral valuation

Python

Java

SQL

C++

Statistical analysis

Education

Advanced degree in finance/econometrics/quantitative discipline

Tools

Yield Book

Bloomberg OAS models

eMBS dataset

Job description

Wellington Management is seeking a Quantitative Strategist to develop models for fixed income, agency MBS, and structured products, with a focus on risk-neutral valuation.

You will conduct empirical research, analyze security valuation and risk premia, and partner with investors to embed quantitative models into investment decision workflows within the Risk and Analytics Research team.