Investment Vice President, Asset Liability Management recruitment

Position: Investment Vice-President, Asset/Liability Management: Modeling Analytics

Background:
Prudential is one of the largest financial services institutions in the world serving individual and institutional customers with a variety of insurance and investment products and services. The Asset/Liability Management (ALM) organization is responsible for asset/liability management and portfolio construction for Prudential's domestic business operations and oversees the management of alternative investments and portfolio analytics that support Prudential's insurance operations on a global basis.

Modeling Analytics is comprised of a group lead and two sub-teams: Quantitative Modeling and Portfolio Analysis. Quantitative Modeling includes a senior actuary/modeler and a senior quantitative expert (this position). The team is part of the ALM group, reports to the Domestic CIO and supports Individual and Institutional Portfolio Leads as well as senior portfolio managers dedicated to each of Prudential's major Domestic and International lines of business. The Domestic CIO, in partnership with the International CIO, is responsible for asset allocation, investment manager selection, performance assessment, and analysis of new investment alternatives or asset classes.
As a key member of ALM's Modeling Analytics team, this individual will be responsible for development and deployment of best-in-class risk analytics including stochastic asset-liability models, portfolio optimization tools and other capabilities to be utilized for strategic/tactical asset allocation, relative value decision making, and special projects originated by Business Units and portfolio management team.
Responsibilities:
· Design and deploy comprehensive asset-liability risk models for use in analysis of investment strategies
· Lead special Business Unit and portfolio team projects that require quantitative expertise
· Analyze market data and provide relative value analyses on a periodic basis in support of strategic asset allocation
· Perform asset optimization and develop/update modeling assumptions and risk-return metrics
· Examine market opportunities associated with non-traditional / alternative assets and hedging
· Develop key insight into liability characteristics across the major product lines
· Collaborate closely with investment risk, asset management, actuarial, Treasurer's and finance
· Utilize existing systems and tools including scenario generators, replicating portfolios and liability pricing models

Skills

Qualifications:
· Graduate degree in quantitative finance, applied science or mathematics preferred
· Strong project management skills
· Strong written and verbal communication skills
· Strong leadership characteristics and demonstrated value of client focus, teamwork, coaching and integrity
· A minimum of 10 years of quantitative modeling and programming experience
· Deep understanding of capital markets including derivatives, fixed income and equity instruments
· Experience in designing asset-liability models and economic scenario generators
· Creative problem solver, high energy and initiative
· Exposure to external market data sources, commercial modeling and hedging platforms