Rates and FX Quantitative Analyst

  • Competitive
  • Boston, MA, USA Boston MA US
  • Permanent, Full time
  • Wellington Management Company, LLP
  • 18 Jun 18 2018-06-18

Rates and FX Quantitative 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 50 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.


Wellington Management Company, LLP is seeking a quantitative valuation specialist in Rates and FX modeling to join the Global Risk and Analytics (GRA) group within Wellington Investment Science.  GRA is responsible for investment risk modeling and measurement, security analytics, and investor risk engagement and oversight.

The Rates and FX Quantitative Analyst will oversee and build Wellington's models for interest rates and fx derivatives, conduct empirical research on security valuation and risk premia, and serve as a subject matter expert on risk neutral valuation for investors, product management, and the Global Risk team. The Analyst will work closely with Wellington investors to facilitate the use of quantitative models in portfolio construction. This is a role with a broad and critical set of responsibilities. The Analyst will work on developed and emerging sovereign yield curve construction and bond and futures valuation, rate derivatives valuation, fx derivatives valuation, and modeling for relevant market data (e.g., volatility surfaces, OIS and swap curve construction, FX implied yield modeling).

Success in this role requires the ability to conduct rigorous quantitative research, strong knowledge of risk neutral valuation, term structure modeling, derivatives valuation, the ability to work with and direct IT teams to build production infrastructure process for measuring security analytics, and an appetite for collaborating with 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 investment teams, product management and business professionals.


The ideal candidate will have both a strong quantitative background coupled with an understanding of finance/economics.

  • Advanced degree in finance, econometrics, quantitative field (math, statistics, physics, electrical engineering, operations research)
  • Strong understanding of asset pricing theory
  • 3-7 years experience with interest rate and derivative modeling; understanding of market conventions for yield curve construction and quotations of standard rates and fx derivatives.
  • Strong technical background for prototyping and developing models and performing statistical analysis. Java, C++, Python, SQL
  • Experience with Numerix or Calypso a plus

Rates and FX Quantitative Analyst

Investment Management (IM)

280 Congress

As an equal opportunity employer, Wellington Management considers all qualified applicants will receive 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 Wellington@icareerhelp.com .