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MassMutual Rates Quantitative Strategist in Boston, Massachusetts

Objectives of this role

  • Contribute research and market views on the interest rate markets in support of MassMutual’s Fixed Income Asset-Liability Management program

  • Deliver views and expertise in interest rate volatility to help understand and manage this key risk driver in MassMutual’s portfolio

  • Create and implement quantitative frameworks to analyze relative value and recommend investment strategies

  • Collaborate with team members to advance the progress of a multi-year initiative to modernize and enhance MassMutual Investment Management’s risk analytics and reporting platform

  • Assist with the ongoing transition from LIBOR and help understand implications for MassMutual’s portfolio

  • Work with colleagues in other areas of MassMutual to assist with model validation/oversight and support

Responsibilities

The Rates Quantitative Strategist will be a member of the Quantitative Research and Development (R&D) team within Investment Management’s Portfolio Management group. The candidate will provide color on relevant market events and look to create/test quantitative rate and volatility strategies that can aid the portfolio management team in its decision process. The position requires strong subject matter expertise in interest rate derivatives, especially in an insurance context, along with good Python development skills. The Strategist will work with quantitative developers and other team members to enhance MassMutual Investment Management’s analytics platform to further our overall mission to increase policyholder value.

Skills and qualifications

  • Degree in math, statistics, computer science, quantitative finance, or engineering

  • 10+ years of relevant work experience

  • Strong statistical skills

  • Deep understanding of swaps, swaptions, TRS, repo, treasury futures, and their use in portfolio management

  • Ability to deliver interest rate market insights that can be converted into portfolio management strategies

  • Strong understanding of the volatility surface and its implications for insurance company portfolio management

  • Programming proficiency in Python, SQL, and VBA

  • Bias towards continuous improvement

Preferred qualifications

  • Graduate degree from top tier school

  • Experience in a market risk setting at an insurance company, asset manager, bank, or hedge fund

  • CFA/MBA/MFE

  • Familiarity with insurance company fixed income asset-liability management principles

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