AI Fixed Income Duration Risk Modeler

Quelion Intelligence

Remote · $160k – $200k / year · Full-time · Posted 4 months ago

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About the role

Duration risk is the sensitivity of a bond portfolio's value to changes in interest rates. A portfolio with a duration of 8 years loses approximately 8% of its value for every 1% rise in rates. In a rate environment as volatile as the past three years — where central bank rate cycles have moved faster and further than historical precedent — duration risk management is the difference between a fixed income portfolio that survives a rate shock and one that crystallizes significant mark-to-market losses. Our quantitative risk platform serves 18 fixed income asset managers. Duration risk modeling is an area where our clients' needs have outpaced our current capabilities: they want not just standard duration and convexity measures but ML-enhanced duration estimation for complex structured products where traditional analytical models fail, and scenario analysis that accounts for the yield curve shape changes that accompanied recent rate cycles. You'll lead fixed income duration risk model development: building ML-based duration estimation for structured products with non-standard cash flow uncertainty, implementing yield curve scenario models that capture non-parallel shifts, and creating the risk attribution system that decomposes portfolio duration risk by issuer, sector, and maturity bucket.

Fully remote.

Responsibilities

Build ML-based duration estimation for structured products where analytical cash flow modeling is insufficient
Implement yield curve scenario models capturing non-parallel shifts: twist, butterfly, and term premium changes
Develop portfolio duration risk attribution by issuer, sector, maturity bucket, and curve point exposure
Create duration hedging effectiveness analytics evaluating swap overlay and futures hedge ratios
Build real-time duration monitoring for portfolio managers tracking intraday rate sensitivity
Validate ML duration estimates against analytical benchmarks and published structured product models

Requirements

6+ years in quantitative fixed income with duration modeling, rate risk, or structured product analytics experience
Deep understanding of yield curve dynamics, bond math, and duration/convexity for complex instruments
Strong Python and quantitative modeling skills with fixed income market data experience
Experience with interest rate derivatives, swap overlays, and duration hedging strategies
Track record building risk models that meet asset manager internal model validation standards