Director Quantitative Strategist recruitment

Responsibilities:

• Manage a group responsible for assessing ongoing PL and risk impact, along with development of risk mitigation strategies for a portfolio of variable annuity products within a CUDA platform

• Ensure continued improvement of existing risk strategies/methodologies for the entire hedge program

• Identify residual unhedged risk and associated impact on overall portfolio performance 

• Design and implement new quantitative models that track and predict risks, identify and initiate development of new hedging strategies to enhance the current variable annuity hedging program.

• Serve as the subject matter expert on capital market risks systems and models (equities, FX, credit and fixed income).

• Employ sound knowledge of the cross asset derivatives under review (e.g. equity derivatives and futures, interest rate derivatives and futures, mortgage related products, credit index products) in order to effectively produce the required analysis for sign-off and execution. 

• Expand asset holdings with a view to hedging more effectively second order risk (gamma,cross-gamma, Volga)

• Lead the research and development of specific trading strategies and provide timely and detailed responses to Senior Management and other stakeholders on various aspects of the hedging program methods and results.

• Produce high level technical presentations on hedging-effectiveness, Cost benefit, Derivative Pricing, Valuation Methodologies for senior management.

Requirements:

• 7+ years’ market risk, quantitative, and/or actuarial experience required.

• Strong 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

• Proficiency with the numerical and statistical tools needed to develop robust hedging strategies (MySQL, MS SQL Server, Perl, C/C++, MATLAB)

• Innovative and analytical thinker with strong communication skills

• PhD degree in mathematics, actuarial science, hard sciences, computer science, or related field with current managerial experience required

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

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