Develop interest rate option models and manage risk within AIMCo’s global fixed income relative value portfolio. Support daily trading and investment decisions.

Working with the Fixed Income Team, you will analyze and monitor a levered global relative value portfolio. The position focuses on pricing models for vanilla and mid-curve swaptions, curve caps and floors, alongside broader portfolio construction analysis. You will assess strategy vulnerabilities, recommend approaches for portfolio goals, and create repeatable risk evaluation processes. The role also includes maintaining infrastructure, contributing to the analytical platform, and coaching junior team members. Collaboration spans Relative Value, Operations, Technology, Risk Management, Accounting, derivatives dealers, and investment partners.

Key Responsibilities:

- Develop interest rate option pricing models




- Monitor portfolio positions and daily risk measures
- Assess investment strategy return and risk factors
- Recommend strategies for specific portfolio objectives
- Collaborate on infrastructure and analytical platform development

Requirements:

- Eight years managing fixed income portfolios or equivalent experience
- Background with fixed income cash or derivatives strategies
- Finance, mathematics, physics, or related quantitative degree
- Ability to present clearly and effectively
- Commitment to AIMCo’s excellence and collaboration values

Use derivatives expertise, portfolio risk analysis, and model development to support AIMCo’s fixed income relative value investment process.

📌 Interest Rate Derivatives Portfolio Manager (Toronto)
🏢 Alberta Investment Management Corporation (AIMCo)
📍 Toronto