We are partnered with a head of modeling hiring a Quantitative ALM/Hedging lead in NY. you'll be expected to develop/implement complicated ALM/Hedging models and lead the maintain model infrastructure. It's newly created role for the firm that's looking to hire an experienced candidate who can work autonomously, own their model infrastructure comprised of complex ALM/Hedging and actuarial models focused on insurance products, specifically for the fixed index annuity/variable annuity space.
Ideal Candidates for the Quantitative ALM/Hedging Model Manager will have:
- 5+ years of experience developing ALM models within the insurance space
- 10+ years of experience in a diversified life and annuity or financial or actuarial consulting firm
- 3+ years hands on experience coding for complex models within the life + annuities space
- 3+ experience with insurance models - strong knowledge of complicated derivative instruments/hedging of annuity risk
Responsibilities/Qualifications Include:
- Develop (from scratch) and implement ALM/hedging models and maintain their model infrastructure
- Strong coding background in Python, alpha (actuarial software nice to have but not needed), R and some Java ideal as well but not required
- Model oversight across all financial, market, product/pricing, policyholder behavior, and liquidity models
- Guide on hedging targets by running models and bench marking results
- Validate actuarial/financial models and assess methodologies and assumptions
- Take charge in running the ALM modeling function, cross functionally work with treasury, finance, actuarial, audit, and compliance teams
