Quantitative Strategy Associate - Equity Risk Management

Supporting the annuity hedging strategy of a leading financial institution.

Responsibilities:

• Assist in the analysis of risk minimization multi-strategy hedging frameworks for a variable annuity portfolio. 

• Critique and enhance various systems utilized in analyzing market risks inherent in variable and equity- indexed annuities. 

• Research and evaluation effectiveness of hedging strategies across a wide range of fixed income, equity, and credit derivative products

• Develop a thorough understanding of equity risk management, including proficiency in risk management and pricing of exotic equity derivatives (baskets, cliquets, etc)

• Keep current on capital markets and assess the impact on the hedging program of developing trends.

• Partner with other areas of the company to enhance variable and equity-indexed annuities product analysis and risk management.

Requirements:

• 1-3 years derivatives structuring, strategy and/or financial engineering experience required.

• 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

• High proficiency in MS Excel and VBA required. Programming experience with SAS and C++ a plus.

• Actuarial exam progress preferred. ASA preferred. CFA, PRM or CQF also desirable.

• Masters degree in financial engineering, operations research, quantitative finance mathematics, actuarial science, computer science required

For immediate consideration, please forward resume and contact details to:info@ashtonlanegroup.com