Intermediate Research Analyst - Quantitative (SAG)

The position is located in Northbrook, IL

The purpose of the department is to manage over $110 billion in assets for The Allstate Corporation. Investment performance for our portfolios has consistently provided excess returns for our customers and we attribute that success in large part to the quality of our people. We recognize that our employees are our ultimate advantage and we seek to attract and retain highly qualified individuals with strong academic backgrounds, a deep interest in investments and a desire to be challenged. We manage diversified portfolios for our customers, investing in a variety of asset types including taxable fixed income, tax-exempt fixed income, equities, private securities, commercial mortgages and derivatives to name a few.

Allstate Investments (AI) is seeking an Intermediate Quantitative Analyst with a strong quantitative background to help manage and monitor various portfolios within the Structured Assets Group (SAG). AI has over $75 billion in taxable fixed income assets under management, with investments across a broad range of asset classes and industry sectors. The current SAG portfolio exceeds $9 billion in size across various asset types, including approximately $7.5 billion in asset-backed securities (ABS) and approximately $1.7 billion in cash and synthetic collateralized debt obligations (CDOs).

The individual will be responsible for

1. Work directly with portfolio managers to create econometric and other quantitative models to further enhance the underwriting, relative value decisions, and risk assessment of new investment opportunities within and across ABS, CDOs and other leveraged credit investments.
2. Develop new models and integrate existing software to assess and monitor the risks of existing ABS and CDO portfolios.
3. Automate and integrate the monitoring of credit default swap (CDS) market information (CDS basis, indices, tranches).
4. Fulfill numerous functions in a centralized CDS capacity, including keeping abreast of new products, market developments, and Street quantitative research.
5. Model synthetic and cash CDO structures, and actively work with other members of SAG to construct bespoke portfolios. Identify and respond to ad-hoc requests for portfolio information or analytics.
REQUIREMENTS
The skills required are:

1. Intermediate - Knowledge of ABS and CDO structures, as well as credit derivative markets.
2. Intermediate - Familiarity with investment management concepts and quantitative portfolio management techniques.
3. Advanced - Highly developed quantitative, modeling and programming skills.
4. Intermediate - Strong interpersonal and communication skills.
5. Advanced - Ability to think independently and creatively, and recommend as well as implement new ideas. Highly motivated with demonstrated ability to work well in a team environment.

Experience Required:
Two years of computer programming and/or quantitative analysis in an investment-related field, preferably derivatives and/or CDOs. Analyst must have a solid understanding of numerical methods and investment theory, and work well in a team environment.

Computer Proficiency:
Knowledge of MATLAB, C/C++, VBA and SQL preferred; knowledge of Intex and/or Quantifi also preferred.

Education:
Masters/MBA - Preferred
Major preference: Business, Finance, Computer Science or Engineering

Our customers aren’t the only ones in Good Hands with Allstate! If you are interested in working for an employer of choice, then look no further. We offer:

•A commitment to diversity• A commitment to our communities
•A commitment to success• A commitment to work-life balance.

At Allstate, you will be among the industry’s top talent with an environment that encourages continuing development and growth opportunities. As a member of the Allstate Team, you will enjoy a customizable benefits plan, generous paid time away, an excellent 401K plan, a defined benefit pension plan and much, much more!

Are you in Good Hands?

* Apply to job # 237407 via the apply button or the following link* http://www.allstatecareers.com/careers/jobsearch.asp

Allstate is proud to be an Equal Opportunity Employer!