Reference #: W5406
Support the risk and portfolio analytics team for a national financial firm.
- Collaborates with senior team members to analyze, design, code and test solutions for systems of moderate to high complexity, including distributed and cloud computing platforms
- Contributes to team development and maintenance of sophisticated projection models to measure investment guarantees and insurance liabilities under various economic scenarios.
- Critiques, reviews and comments on the modeling & technical designs of peers and recommends enhancements to various systems under development or being currently utilized.
- Develops, codes and tests models that use economic scenarios, monte carlo simulations, analytical stochastic solutions and model parameter calibrations.
- Effectively communicates connections between Market Risk Management models and how they impact other areas and metrics across the enterprise.
- Performs hands-on modeling & programming of liability valuations and cashflows supporting company-defined hedge targets that may be economic, GAAP, statutory, or capital in nature
- Performs hands-on modeling & programming of quantitative financial models to value various assets, from fixed income portfolios to derivatives including exotic equity derivatives, rate derivatives, FX & credit instruments along with rate-equity hybrids
- Proactively identifies problems, develops solutions & communicates effectively with internal stakeholders and management.
- 1-3 years’ experience model development with strong analytical problem-solving skills
- Experience in developing and/or programming mathematical or financial models and translation of models to an object-oriented language (e.g. Python/R/Java/C++)
- Exposure to insurance guarantees/actuarial modeling preferred
- Demonstrated understanding of option theory and risk measure. Understanding of Monte Carlo Simulation techniques and modeling of market factors.
- Excellent verbal and communication skills
- Master’s in Financial Engineering, Computer Science or another quantitative field