Director, Quantitative Risk

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Requirements:

• Expert investigative, analytical, and problem solving skills
• Advanced background in econometrics, statistics, math, computer sciences, and/or computational finance
• Basic Word and advanced Excel skills
• 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

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