Job Profile: Quantitative Derivative Strategist
Date:
3/1/2010
Location:
Philadelphia, Pennsylvania, United States
Sector(s):
Risk (Market)
I.T.
Quantitative
Client:
Financial Institution
Reference #:
W4198
Leading the Variable Annuity Market Risk quantitative & technical enhancements of a global insurance & banking firm.
Responsibilities:
- Guide the development of enhanced Market Risk Management applications, including efficient user interfaces (GUIs), data manipulation & data mining for risk analytics, and the conversion of data into value added management reports.
- Play a lead role in managing and enhancing the interdependencies between risk managers, IT, and project management to ensure Market Risk Management can successfully mitigate the complex exposures in our retail products which combine Actuarial, Financial, and Capital Market risks.
- Serve as a Liaison between the Risk Managers (RM), IT, and Project Management (PM) to ensure complex business requirements are effectively translated into IT solutions and efficiently managed towards implementation. This includes partnering with IT and PM to coordinate the prioritization, bundling, and resource estimates for IT and RM work.
- Identify opportunities for process improvement, reducing operational risk, and enhancing application transparency in existing and new Risk Management procedures and analytic exercises. This also includes anticipating and preparing for future needs.
- Motivate, engage, drive, and develop staff within your department, as well as throughout the Market Risk Management Group
- Effectively lead complex cross functional projects in a dynamic business environment that can involve shifting priorities; collaborating with other departments and business units, and creatively leveraging internal and external resources to meet aggressive deadlines.
Requirements:
- 5+ years experience within the following: variable annuity (VA) hedging, VA product design and pricing, VA statutory and GAAP reserving, embedded value and value added analysis, asset liability management.
- Experience in annuity market risk management and solid investment background and / or extensive financial engineering experience and a solid understanding of annuity risk management.
- Strong understanding of capital market instruments, especially equity derivatives and their underlying financial mathematics is preferable.
- Management experience with ability to effectively build and lead a team of highly skilled investment and actuarial professionals.
- Substantive experience with relational databases. Oracle experience preferred. UDB and SQL Server experience a plus. Solid understanding of C++, Java and VB.Net.
- Excellent communication skills, including a proven ability to effectively describe complex exposures and derivatives strategies to a less technical audience.
- Quantitative Masters required
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