Quantitative Derivative Portfolio Manager

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

The Ideal Qualifications

What to Expect as Part of MassMutual and the Team

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MassMutual is an equal employment opportunity employer. We welcome all persons to apply.

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