Quantitative Derivative Portfolio Manager

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Role: Quantitative Derivative Portfolio Manager
Department: Investment Management
Team: Quantitative Portfolio Management
Location: Boston - Hybrid
Position: Full-Time
The Opportunity
The Quantitative Derivative Portfolio Manager will be supporting the management of derivative portfolios in one or more segments of the general or corporate investment accounts. This includes performing daily portfolio management activities, such as rebalancing risk and evaluating tactical relative-value tradeoffs, while also contributing to the research of alternative hedging strategies employing simulation and back-testing techniques. The Quantitative Derivative Portfolio Manager will work closely with teams across Investment Management, Barings, and Enterprise Risk. Multiple opportunities available with a focus on Rate, Credit, or FX derivative management.
The Team
The Quantitative Portfolio Management (QPM) team has primary focus in asset-liability management (ALM), product pricing, and the formulation and execution of quantitative strategies that enhance policyholder surplus and mitigate unwanted risks in the portfolio. The team oversees all derivative-related aspects of MassMutual’s portfolio management process, managing exposure to interest-rates, foreign exchange rates, credit spreads, volatility, and equity. A small and highly collaborative team, QPM works with other groups across Investment Management to manage MassMutual's product portfolios and the approximately $250 billion General Investment Account (GIA). In addition, this high-profile group works with our other internal stakeholders including product, actuarial, treasury, accounting, risk, compliance, and external partners, including our primary asset management subsidiary Barings and the major Wall Street derivative broker/dealer counterparties.
The Impact
The Quantitative Derivative Portfolio Manager will be accountable for the following:

• Support of daily portfolio management activities like review of current risk, recent activity, trade input, attribution, profit and loss, and lifecycle of portfolios
• Identify market opportunities, analyze alternative hedging strategies, and suggest transactions, to increase hedge effectiveness for portfolio management
• Develop bespoke simulation, back-testing and/or other research projects
• Collaborate with colleagues in other areas of MassMutual as needed – enterprise risk, corporate actuarial, finance and accounting, etc.
  

The Minimum Qualifications

• 3+ years of derivative market experience in at least one of the following: listed and OTC equity options, TRS, futures/forwards, CDX, interest rate swaps/swaptions, and cross-currency swaps
• Bachelors in Math, Financial Engineering, Computer Science or related field
  

The Ideal Qualifications

• 5+ years of derivative market experience
• Strong background/understanding of capital markets and financial instruments
• Strong quantitative expertise: statistics, mathematics, and computer science (python / SQL required)
• Ability to develop market views
• Deep knowledge of derivatives in all dimensions – risk, economics, tax, accounting
• Advanced quantitative degree (MFE, PhD)
• Strong understanding of portfolio management and ALM in a life insurance company
• Strong communication skills and ability to discuss technical topics to non-experts
  

What to Expect as Part of MassMutual and the Team

• Regular team meetings
• Focused one-on-one meetings with your manager
• Access to mentorship opportunities
• Networking opportunities including access to Asian, Hispanic/Latinx, African American, women, LGBTQIA+, veteran and disability-focused Business Resource Groups
• Access to learning content on Degreed and other informational platforms
• Your ethics and integrity will be valued by a company with a strong and stable ethical business with industry leading pay and benefits
  

MassMutual is an Equal Employment Opportunity employer Minority/Female/Sexual Orientation/Gender Identity/Individual with Disability/Protected Veteran. We welcome all persons to apply. Note: Veterans are welcome to apply, regardless of their discharge status.
If you need an accommodation to complete the application process, please contact us and share the specifics of the assistance you need.

Seniority level

• Seniority level

  Mid-Senior level

Employment type

• Employment type

  Full-time

Job function

• Job function

  Finance and Sales

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