Director, Quantitative Risk

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Requirements:

• A Bachelor’s degree in Finance, Economics, or related field AND 7+ years of experience with quantitative capital markets analyses, economic scenario generation and/or hedging
• A Master’s degree in Finance, Economics, or related field AND 5+ years of experience with quantitative capital markets analyses, economic scenario generation and/or hedging
• ASA and/or CFA designation AND 5+ years of experience with quantitative capital markets analyses, economic scenario generation and/or hedging
• Expert investigative, analytical, and problem solving skills
• Advanced background in econometrics, statistics, math, computer sciences, and/or computational finance
• Advanced optimization and debugging of NUMERIX, MATLAB and/or VBA code
• Excellent oral and written communication skills, demonstrates the ability to guide/teach
• Can successfully handle multiple competing priorities, deadlines, and deliverables
• Highly adaptable; comfortable working in a changing environment
• Ability to work both independently and within a team environment
• Familiarity with database applications (e.g., Access, Oracle, SQL or equivalent)
• Familiarity with statistical programs (e.g., SAS, MATLAB, Gauss, R)
• Familiarity with a computing language (e.g., C/C++)
• Familiarity with Bloomberg API
• Working knowledge of Hull-White model, LIBOR Market Model, Heston Stochastic Volatility, and Intensity credit models
• In-depth understanding of VA and/or FIA insurance products, including rider guarantees commonly offered in the market, especially as related to hedging activities
• Understanding of inflation indexed features of Pension liabilities

Responsibilities:

• Lead or direct a small team of analysts, including setting goals and priorities, assessing and reviewing analysts’ work, developing talent, and managing performance
• Provide thought leadership related to generating scenarios, hedging insurance assets or liabilities, and/or developing the models used to do so
• Take ownership of processes that could include: Creating and running Risk-Neutral models used by Pricing, Valuation, and Finance, Creating and running Real-World scenarios for risk analysis throughout the organization, Creating and running hedging programs for VA, FIA, inflation-linked, and/or other liabilities, Creating and running custom quantitative solutions for corporate partners
• Describe solutions, processes, and/or results to senior management, internal risk committees, corporate partners, and/or external audit
• Participates in key unit and ad hoc department projects, as needed