Senior Quantitative Analyst - Fixed Income

Invesco is a leading global asset management firm with more than $937B* in assets under management. We provide our retail and institutional clients a diverse and comprehensive range of investment capabilities to help people get more out of life. Invesco is publicly traded on the New York Stock Exchange (IVZ) and has about 7,000 employees in over 20 countries.
(*As of December 31, 2017)

Job Purpose (Job Summary):
Responsibilities include modeling and monitoring the risks of various mortgage related portfolios. Executing ad-hoc projects that involve devising and/or implementing new ways to analyze risks inherent in mortgage related portfolios.

Key Responsibilities / Duties:

• Systematically measure portfolio risk exposure on an absolute basis and relative to a benchmark
• Perform risk analysis on portfolios reporting on yield curve, prepayment, volatility, duration, liquidity, sector and security exposure.
• Perform risk analysis including scenario analysis, forecasting tracking error, and modeling value-at-risk (incl. back-testing and stress-testing)
• Model and monitor liquidity position for large repo book with daily collateral posting requirements
• Decompose and explain forecasted portfolio risk at granular level
• Monitor adherence to process/mandate and client expectations as directed for specific portfolios
• Conduct custom analysis to support the risk oversight process for the relevant portfolios
• Design custom computer models/macros, as needed, to facilitate portfolio analysis
• Design/develop/improve existing quantitative models/tools to help monitor and manage risk
• Design reports to facilitate understanding of risk
• Communicate senior management and mortgage REIT board of directors on risk management processes in a clear and concise manner
• Good working knowledge of regulatory requirements/environment
• Opportunity to work independently on complex risk related projects (market risk, credit risk)
• Involvement in or ownership of special projects as determined by management

Work Experience / Knowledge:

• 7+ years investment or quant experience
• Proficiency in Access Database/SQL and Excel VBA
• Experience in statistical software
• Proficiency in mortgage related products and derivatives
• Familiarity with international markets desirable
• Excellent understanding of risk models/methodologies
• Experience with BlackRock s Aladdin desirable
• Excellent understanding of fixed income markets in general
• Ability to conduct research with little or no direction

Skills / Other Personal Attributes Required:

• Effectively operate in a team-oriented and collaborative environment
• Highly motivated self-starters
• Good time management and be able to work under pressure
• Good written and oral communication skills
• Attention to detail
• Excellent problem-solving capability
• Able to adeptly field in-depth investment-related questions regarding a broad range of quantitative topics
• Good project management skills

Formal Education: (minimum requirement to perform job duties)

• Masters degree in quantitative subject such as Statistics, Financial Engineering, Computer Science
• CFA, FRM/PRM and/or MBA (Finance) are desirable

License/Registration/Certification: (minimum requirement to perform job duties)

• CFA a plus

FLSA (US Only): Exempt

The above information on this description has been designed to indicate the general nature and level of work performed by employees within this role. It is not designed to contain or be interpreted as a comprehensive inventory of all duties, responsibilities and qualifications required of employees assigned to this job. The job holder may be required to perform other duties as deemed appropriate by their manager from time to time.

Invesco's culture of inclusivity and its commitment to diversity in the workplace are demonstrated through our people practices. We are proud to be an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, creed, color, religion, sex, gender, gender identity, sexual orientation, marital status, national origin, citizenship status, disability, age, or veteran status. Our equal opportunity employment efforts comply with all applicable U.S. state and federal laws governing non-discrimination in employment. #LI-MT01