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AVP, Quantitative & Hedging Strategy
Posted 4 months agoViewed
💎 Seniority level: Director, 10+ years
🔍 Industry: Finance
🏢 Company: Fidelity & Guaranty Life Insurance Company
🗣️ Languages: English
⏳ Experience: 10+ years
Requirements:
- 10+ years of advanced programming experience, including VBA, MATLAB, Python, C#, or Java.
- Extensive experience with relational database systems (e.g., SQL Server, MS Access).
- 10+ years of experience in derivatives modeling, risk analysis, and application development, with a focus on options, swaps, currency, bond forwards, swaptions, and other complex derivative instruments.
- CFA/FRM/CQF designations preferred.
- Life and annuity business experience required, with understanding of statutory (STAT) and GAAP accounting principles.
Responsibilities:
- Partner with the VP, Hedging Strategy in defining the risk strategy for the derivatives portfolio, aligned with company objectives. This includes developing both general account hedging strategies as well as hedging the liability options embedded in our products.
- Own advanced valuation models, risk analytics, and decision-support tools for derivatives trading.
- Lead macro trade strategy ideation designed to manage ALM, earnings, capital and market volatility while maintaining effective risk coverage and reducing hedge costs.
- Oversee systems and processes related to derivative portfolio analytics, with a focus on complex instruments such as options, swaps, currency, bond forwards, and swaptions.
- Drive initiatives to enhance system performance, ensuring the accuracy of derivative models and automating processes like pricing and reconciliation.
- Quickly learn the proprietary, in-house valuation system, leading efforts to enhance its scalability, performance, and model integration.
- Collaborate with IT, the Director, Quantitative Analytics, and other Quantitative Analysts to ensure the system aligns with future business needs, applying best practices in architecture and system design.
- Lead the research and development of complex derivative pricing methodologies and estimate parameters for pricing models, with a focus on sophisticated derivative structures such as exotic options (e.g., Cliquets), bond forwards, interest rate swaps, currency and swaptions.
- Take ownership of the derivative pricing models using advanced frameworks such as Bates jump diffusion models, Heston models, local volatility models, and Monte Carlo simulations for enhanced pricing accuracy and risk assessment.
- Oversee model validation and performance testing, providing strategic insights for continuous model refinement.
- Provide leadership in supporting actuarial teams by delivering detailed analytics, such as option cost projections and budget analysis for new annuity products.
- Propose hedging strategies for liability hedging of Fixed Indexed Annuities (FIA), Indexed Universal Life (IUL), and Registered Index-Linked Annuities (RILA), as well as general account ALM and macro hedging strategies.
- Monitor and compare model valuations daily, generating reports to ensure consistency and performance.
- Lead the ongoing development, enhancement, and maintenance of the custom, in-house derivatives valuation system, updating it for new products and pricing models as required.
- Design and extend the system infrastructure to accommodate future model developments, ensuring it scales with the company's growth and evolving needs.
- Drive improvements in code efficiency and deliver innovative solutions for evolving business needs, including product changes.
- Generate ad-hoc reports using SQL and other data tools to support derivative trading decisions and risk management.
- Oversee the development and automation of key processes such as pricing sheets, reconciliation workflows, and reporting, driving operational efficiency.
- Take ownership of strategic initiatives in partnership with actuarial, finance, investments, and risk to support asset-liability management (ALM), liquidity risk measurement, and overall portfolio management.
- Lead responses to regulatory and internal risk management requirements, ensuring compliance and effective risk oversight of pricing models.
- Propose strategic trades, including macro-level transactions, leveraging strong business acumen, accounting principles, and deep market knowledge.
- Demonstrate an ownership mentality, working closely with IT and other stakeholders to achieve system objectives and strategic goals.
- Prioritize and manage multiple complex tasks and projects, ensuring timely delivery and execution in a fast-paced environment with limited oversight.
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