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Head of Quantitative Risk
Aflac
New York, NY, United States
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Description
We are the Duck. We inspire and are inspired, listen and respond, empower our people, give back to our community and, most importantly, celebrate every success along the way. We do it all – The Aflac Way.
Aflac, a Fortune 200 company, is an industry leader in voluntary insurance products that pay cash directly to policyholders and one of America's best-known brands. Aflac has been recognized by Fortune magazine as one of the 100 Best Companies to Work For in America for 18 consecutive years, one of the Best Workplaces for Millennials in 2015 (the inaugural year of the award) and one of America's Most Admired Companies for 15 years.
Our business is about being there for people in need. So, ask yourself: Are you the Duck? If so, there’s a home — and a flourishing career — for you at Aflac.
The Company
Aflac Global Investments
The Location
New York, NY
The Division
Investment Risk
The Opportunity
Vice President, Head of Quantitative Investment Risk
POSITION SUMMARY
Working as a part of the Global Investments Risk Management team, collaborate in the development, implementation and validation of the division’s risk, capital, asset and liability management (ALM) models
KEY RELATIONSHIPS
Reports to: Director, Head of Global Investment Risk Management – Aflac Global Investments
.
OVERALL RESPONSIBILITIES:
• Develop and calibrate models for implementation in division’s risk, capital, asset and liability management (ALM) models and deploy the models into production to ensure that they are efficient and robust.
• Documentation and validation of models and calibration techniques
• Perform deep-dive analyses across all investments risks and their sources to ensure transparency and address portfolio diversification.
• Provide technical expertise and support to Market, and Credit teams in modeling projects.
• Strong understanding of the risks of non-standard asset classes
• Create, produce and present oral and written analyses and concepts, including management recommendations, to executive management
• Stay abreast of developing techniques and regulations to ensure risk modeling is state of the art and provide thought leadership on risk modeling
• In addition being individually hands-on, manage a small team of 2-3 junior level quantitative level analysts and provide guidance to their day to day work
Qualifications
CANDIDATE QUALIFICATIONS:
• 8+ years of relevant work experience in financial services risk management (preferably insurance), either in industry, or as a consultant.
• FSA (quantitative investment stream), CFA, FRM, Master of Financial Engineering / Mathematics, or similar investment risk management credentials desirable, and experience with market and credit modeling
• Extensive model development experience in C#, Python, and VBA is a must
• Deep understanding of fixed income and derivative analyses including valuation and stress testing for corporate bonds, swaps/options, structured credit and other assets
• Knowledge of statistics and application to the financial services industry
• Life insurance actuarial modeling and implementation experience is preferred, as is familiarity with US life insurance company financial statements.
• Superior analytical and critical thinking skills with exceptional communication and presentation skills
• Excellent communication and influencing skills, including presenting to executive management and rating agencies
• Highly organized with the ability to work on multiple projects with different deadlines.
• Extensive experience with leading modeling projects in a highly matrixed organization