Reference #: W5378
Provide derivatives hedging solutions within the variable annuity hedging team
- Onboard new funds on the variable annuity platform by developing automated tools for data preparation and seamless running of back-testing algorithms to quantify hedge effectiveness
- Use statistical techniques to test hypothesis using robust back-testing to develop trading strategies to mitigate P&L
- Analyzes daily / weekly P&L to create statistical performance attribution methodologies
- Improve standard derivatives hedging strategy and implements efficient solutions (under guidance).These risks include, but not restricted to, equity risk, interest rate risk, volatility risk, tracking error risk, dividend risk
- Works with hedging operations team to measure and understand P&L attribution.
- Identifies and directs the implementation of process improvements that significantly reduce workloads or improve quality across the department for his/her assigned area(s) of responsibility
- Collaborate with colleagues in the risk management department and build good relationships.
- 1-3 years’ capital markets quantitative modeling/hedging/risk experience required.
- Demonstrated experience and understanding of derivatives valuation, risk management and data analysis.
- Sound knowledge of derivatives; and credit, interest rate, foreign exchange and credit risks, and hedging strategies.
- Expert level knowledge of R, Matlab, VBA, MySQL
- Strong analytical, presentation & persuasive abilities with excellent interpersonal skills and strong oral and written communication skills
- Masters (or PhD) degree in mathematics, actuarial science, hard sciences, computer science, or related field required