This newly added Quantitative Analyst role will have accountability for contributing to one or more functions in oversight of VA hedge programs, design and develop tools and/or processes to report P&L and attribution with focus on fund basis/tracking error.

Principle Responsibilities:

• Identifies and communicates insights into P&L drivers through in-depth knowledge of derivative instruments, underlying fund performance, positions and interactions with portfolio managers

• Researches investment style of funds to manage/reduce fund to hedge basket performance slippage (i.e. fund basis)

• Prepares recurring and ad-hoc presentation decks to management on fund basis results

• Researches new techniques and build tools to help analyze complex problems related to risk, hedging derivatives and to support special projects

• Build quantitative/analytical tools to support portfolio management and/or hedge strategy development and/or risk reporting by leveraging financial engineering, capital markets, and product knowledge  

• Participate in various quantitative projects as needed to help support overall Hedging/Risk teams goals and objectives 

• Maintains procedures and process-level documentation on various aspects of the hedge reporting functions

Required Qualifications:

• Minimum of 1 - 3 years of progressive, related professional experience in the insurance or broader financial services industry 

• Experience should be inclusive of exposure to equity and rate derivative instruments.

• Superior quantitative/analytic reasoning and problem-solving abilities and strong computer programming experience in VBA, Python, Matlab, C++ …etc

• Bachelor’s degree in Financial Mathematics (or related field); strong preference toward advanced degree (Master’s or PhD in a Quantitative field)  

• Advanced knowledge of Financial Mathematics with solid understanding of Derivative Pricing Theory, and their applications

• Ability to work under pressure and in a fast-paced work environment 

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