Our client is seeking a Quantitative Analyst to be part of the Modelling and Analytics team within the Chief Investment Office (CIO) Organization. This group manages market risks associated with Variable Annuity and Retirement Guarantees. The CIO owns the analysis of key asset and liability risk measures and decision-making relative to the hedging of these risks.
The position will support work which includes daily liability valuation of the hedged liability, capital projections, and refinement of an enterprise-wide capital framework.
• Develop and maintain valuation and projection capabilities in support of ALM and risk management of insurance products
• Benchmark performance and testing of new releases of asset and liability models
• Support research and implementation of interest rate, equity, credit, foreign exchange, and inflation models used in valuation of domestic and international products and ESG solutions across the company
• Interface with CIO’s technology team to build market data and trade databases, and automate data feeds
• Support analysis and research related to implementation of hedging strategies
Responsibilities may include the following:
• Implementation of C++ payoffs and features within asset and liability models
• Expose various C++ modules into a Python based interactive framework for modelling and backtesting
• Performance benchmark testing on new releases on various hardware architectures including cloudbased CPU grids and GPU platforms
• Develop and maintain Python based regression testing modules for new features and into continuous build and integration framework (which utilizes Jenkins)
• Support research and implementation of interest rate, equity, credit, foreign exchange, and inflation models used in valuation of domestic and international products and ESG solutions across the company. This would involve historical back-testing and comparison with alternative models
• Perform back-testing on various ALM analyses in support of capital, liquidity and asset allocation strategies.
• Research and integrate machine learning methodologies using Google TensorFlow or similar tools to enhance and accelerate in-house analytics
Qualifications, Skills & Experience:
• Bachelors or above Degree in Actuarial Science, Math, Sciences or Engineering
• Strong coding skills in Python required, C++ and CODA desirable
• Strong analytical skills
• Capable of working independently
• Familiarity with financial mathematics and derivatives desirable
• Familiarity with insurance products is desirable
Contact [email protected] or +35316099404 for further details.
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