Derivatives Analytics and Valuations Analyst Derivatives Analytics and Valuations Analyst …

Wellington Management Company, LLP
in Boston, MA, United States
Permanent, Full time
Last application, 29 Oct 20
Wellington Management Company, LLP
in Boston, MA, United States
Permanent, Full time
Last application, 29 Oct 20
Derivatives Analytics and Valuations Analyst

Wellington Management offers comprehensive investment management capabilities that span nearly all segments of the global capital markets. Our investment solutions, tailored to the unique return and risk objectives of institutional clients in more than 55 countries, draw on a robust body of proprietary research and a collaborative culture that encourages independent thought and healthy debate. As a private partnership, we believe our ownership structure fosters a long-term view that aligns our perspectives with those of our clients.


As a member of the Security Analytics and Valuations team, the Derivatives Analytics and Valuations Analyst will be responsible for determining valuations and analytics for OTC derivatives and the review of market data (e.g., yield curves, volatilities) to support them. the preferred candidate is highly knowledgeable of OTC derivatives, detail-oriented, has a strong sense of responsibility, works well independently and is knowledgeable of different systems, tools and workflows. The Analyst will work closely with other members of Portfolio Data, Trading, Portfolio Management, and Information Technology to support the firm's use of OTC derivatives.

  • Work closely within Portfolio Services and investment personnel to develop sound workflows and validations of OTC derivative data and valuations.
  • Execute daily valuation procedures to generate end of day prices for OTC Derivatives.
  • Execute daily validation procedures ensuring the integrity and consistency of various market data inputs, including yield curves, credit curves, and implied volatilities.
  • Identify, own, and resolve issues identified through analysis of exceptions.
  • Interact with trading, investors, and Information Technology to resolve pricing model and market data issues.
  • Review results of reconciliation of OTC derivative valuations vs. counterparty valuations to understand differences and to support collateral dispute function.
  • Provide timely, accurate, and thorough support of internal and external clients' OTC valuation related inquiries.
  • Assist manager, team, and IT in the development of additional utilities needed to automate, control, validate, and research data issues in Calypso and Wellington Pricing Application.

The successful candidate for this position should bring:
  • Strong understanding of swaps, options and other OTC derivatives with two years of experience specifically related to derivatives and derivative curve structures.
  • A minimum of three to five years of relevant financial services industry experience.
  • Familiarity with standard valuation models and sources of data for a range of OTC derivatives.
  • Strong skills and understanding in:
    • The use of SQL, VBA or other programming languages
    • Bloomberg (and various API modeling within)
  • Key competencies, such as:
    • Exhibits a proactive nature and approach to learning, problem identification, and resolution. Desire to succeed and the ability to self-motivate.
    • Team-focused with ability to learn from and share knowledge with others.
    • Strong organizational, prioritization, and multi-tasking skills.
    • Ability to think and act independently and thrive in a fast-paced work environment.
    • Thoroughness, attention to detail, and strong problem-solving skills.
    • Quick learner with ability to apply business and industry knowledge.
    • Good written, oral, and interpersonal skills.
  • An undergraduate degree with a strong academic record; progress toward a CFA/CAIA or quantitative finance program preferred.
Derivatives Analytics and Valuations Analyst

100 Federal Street

As an equal opportunity employer, Wellington Management ensures that all qualified applicants will receive equal consideration for employment without regard to race, color, sex, sexual orientation, gender identity, gender expression, religion, creed, national origin, age, ancestry, disability (physical or mental), medical condition, citizenship, marital status, pregnancy, veteran or military status, genetic information or any other characteristic protected by applicable law . If you are a candidate with a disability, or are assisting a candidate with a disability, and require an accommodation to apply for one of our jobs, please email us at .
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