Senior Quantitative Researcher/Developer
February 23, 2021 by N/A
About the job
As part of the Risk team, the successful candidate will work in a dynamic environment that oversees and evaluates financial risk across the Venerable organization.
Specific responsibilities will include:
- Apply understanding of the Variable Annuity business, and the embedded market risks inherent to Variable Annuity products, to understand how those risks are strategically managed through a hedge program and investment portfolio, while working to reduce risk to a strategically acceptable level.
- Conduct research on theoretical valuation methodologies and models for derivatives and/or financial instruments.
- Develop practical valuation solutions for the business to utilize.
- Attain a high level of knowledge of the derivatives and/or investments contained in the company portfolio.
- Develop and/or utilizes code libraries for market consistent valuations, statistics, solving optimization problems, analytics and attributions.
- Develop and enhance tools required to analyze strategic hedging, investment and business decisions.
- Develop a strong knowledge of market parameters and their impact on the value of VA Products and financial/derivative instruments within the company portfolio.
- Act as a point of contact for bespoke business system components & models within the Risk area.
- Perform research, ad-hoc analysis and reporting as needed.
- Apply scalable technology to support the business and enhance the efficiency of our main profit centers.
- Manage large data sets; consult on database structures, organize data, and work on database optimization, etc.
- Act as a communication liaison between the business and IT areas.
- Provide coaching to develop junior colleagues.
The successful candidate will have a strong understanding of model design, programming, and database design supporting scalable reporting systems. Preference will be given to candidates with experience in quantitative finance and/or actuarial science. Key qualifications and experience required in these areas are as follows:
Modeling, Database Design, and Programming Skills :
- Minimum of 3-5 yrs work experience developing models and process engineering
- Proven skills designing well-factored databases
- Abstraction of data model/reporting vs. calcs vs. data sources
- Some programming background – preferably C#, R, Python
- Knowledge of AWS Cloud Services
Quantitative/Actuarial skills :
- Asset and derivative valuation & risk metrics
- Hedging of financial market risks
- Actuarial modeling of mortality, lapsation and other insurance risks
- Financial reporting of actuarial liabilities and capital requirements
- Experience developing event driven automation of recurring processes
- Model and reporting controls
- Ability to work with IT teams to implement, test, and support critical risk reporting systems