Reference #: W5277
Provide derivatives hedging solutions within the variable annuity hedging team
- Analysis and Mitigation of risk through the research and development of asset and liability models
- Ongoing assessment of P&L and risk impact, along with development of hedge strategies for a portfolio of variable annuity products
- Assist in the continued improvement of existing risk strategies/methodologies for the entire hedge program
- Identify residual unhedged risk and associated impact on overall portfolio performance
- Support the design and implement new quantitative models that track and predict risks, identify and initiate development of new hedging strategies to enhance the current variable annuity hedging program.
- Employ sound knowledge of the cross asset derivatives under review (e.g. equity derivatives and futures, interest rate derivatives and futures, mortgage related products, credit index products) in order to effectively produce the required analysis for sign-off and execution.
- Expand asset holdings with a view to hedging more effectively second order risk (gamma, cross-gamma, Volga)
- Assist in the research and development of specific trading strategies and provide timely and tailed responses to Senior Management and other stakeholders on various aspects of the hedging program methods and results.
- Support the production of high level technical presentations on hedging-effectiveness, Cost benefit, Derivative Pricing, Valuation Methodologies for senior management.
- 3-5 years’ quantitative strategy and/or quantitative research experience required.
- Strong understanding of the risk and volatility associated with its living benefits caused by changes in the equity markets, interest rates, and market volatility
- Experience with actuarial valuation and/or product development for variable annuities
- Proficiency with the numerical and statistical tools needed to develop robust hedging strategies (MySQL, MS SQL Server, Perl, C/C++, MATLAB)
- Innovative and analytical thinker with strong communication skills
- Masters or PhD degree in mathematics, actuarial science, hard sciences, computer science, or related field required
- Strong analytical, presentation & persuasive abilities with excellent interpersonal skills and strong oral and written communication skills