Director, Actuarial Job in Newark 07101, New Jersey Us
Director, Actuarial
Newark, NJ 07101
Prudential's Capital Markets Hedging manages market risk associated with Variable Annuity Guarantees. The group owns the analysis of key asset and liability risk measures and decision-making relative to the hedging of these risks.
The Quant Methods group, within Capital Markets Hedging, is responsible for model development, RD and other tactical and strategic quantitative support of the hedging and valuation of the VA riders.
Responsibilities:
· A key position in the Quant Methods group within the Capital Markets Hedging area.
· Lead the development and maintenance of in-house hedge valuation solutions based on a traditional CPU grid as well as GP GPU platforms
· Manage team of 3-4 actuarial modelers/developers
· Implement innovative modeling techniques, including variance reduction and economic scenario generation
· Model new VA guarantee designs and develop further projection capabilities
· Strong quantitative and analytical skills.
· Background in software development using C/C++, Matlab and VBA
· Experience in CUDA C is desirable
· Experience in simulation and parallel processing
· Higher degree in mathematics, computer science or related quantitative field
· Actuarial credentials: FSA preferred, understanding of actuarial concepts is required
· Understanding of derivative pricing concepts
· Aptitude for complex technical work
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