AVP Asset Risk & Analytics

Venerable•West Chester, PA

3d•Hybrid

About The Position

As the AVP of Asset Risk & Analytics, you will play a crucial role in managing the risk of Venerable's General Account investment portfolios. This involves a deep understanding of the investment portfolio, analyzing strategies, and collaborating with both internal teams (Investment, Risk, Finance, Actuarial, senior management) and external partners (Investment Managers, modeling/analytics providers). Your responsibilities will include modeling, monitoring, and reporting on asset and investment risks, specifically focusing on liquidity, capital, and earnings/economic value. You will lead a team responsible for monthly portfolio risk reporting, investment risk scenario generation and stress testing, general account asset modeling, and maintaining the investment risk framework.

Requirements

Minimum 7 years of progressive experience in a highly technical quantitative field (Mathematics, Computer Science, Finance, Actuarial Science, Investments, Research) with an orientation toward investment risk & analysis.
Demonstrated knowledge of insurance company portfolio management, asset-liability management, hedging, and derivatives.
Significant relevant investment, actuarial, programming, and/or modeling experience.
Advanced knowledge of Fixed Income investment products, capital markets, asset modeling, and risk management.
Knowledge of VA product features and embedded optionality.
Strong knowledge of systems design and development principles. OOP, abstraction, modularity, reusability, etc.
Demonstrated ability to lead a diverse team of professionals.
Strong quantitative/analytic reasoning and problem-solving abilities.
Ability to conceptualize/understand and implement novel ideas based on sound theoretical foundations into concrete business solutions.
Ability to multi-task and pivot efficiently as the market or business landscape changes.
Proven track record of constant process improvement and innovation.
Exceptional oral and written communication skills, with strong interpersonal skills to interact effectively across Venerable and with senior management.
Demonstrated ability to deliver results under pressure in a tight timeframe.
Excellent facilitation, organization, and interpersonal skills.
Ability to manage and negotiate competing priorities and deadlines, strong management orientation and problem-solving skills, and able to work in fast-paced entrepreneurial environment.

Nice To Haves

Advanced education, CFA, ASA, FSA, or Ph.D in a quantitative discipline, a plus.
Preferred programming skills: R, Python, VBA, Excel, SQL.

Responsibilities

Lead the asset risk and analytics function at Venerable, including hiring, managing, and developing a team of investment, actuarial, and quantitative professionals.
Oversee asset risk management in Venerable’s general account portfolios.
Support the development, production, maintenance, and enhancement of general account asset portfolio analytics and risk reporting.
Develop, implement, and maintain investment and asset risk assumptions, scenarios, and stress tests.
Oversee general account asset modeling for existing and reinvestment assets.
Develop, implement, and maintain investment risk framework at Venerable for general account portfolios.
Develop and enhance the management of Risk exposures of the investment portfolios; this includes measuring, monitoring, and analyzing the investment risk exposures, performing risk stress analysis, and analyzing potential hedging strategies and their integration with the larger investment strategy.
Support and enhance Venerable’s Liquidity Management, by working with internal and external parties to establish and maintain a comprehensive Liquidity Management framework.
Research and develop methodologies and models to quantify, assess, and monitor market and financial risks with a focus on liquidity, capital, and earnings / economic value.
Develop and utilize code libraries for portfolio optimization, investment strategy research, statistics, optimization problems, analytics, and attributions.
Apply scalable technology to support the Investment Management, Risk, and Finance departments.
Support comprehensive Investment and Risk reporting to senior management and the Investors.
Communicate and explain investment analytics & stress test results and components of reported risk metrics.
Provide clear direction and ownership of asset modeling assumptions used in the actuarial projection models at Venerable.
Contribute to the partnership with Risk Management to analyze risk, ALM, and hedging strategies for specific liability types and their integration within Venerable’s investment and hedging strategies.
Ownership of bespoke business systems & models.
Maintain an understanding of product liability structures and managing the investment portfolios to meet any asset/liability management needs.
Provide input to investment assumptions that support actuarial projection models.
Manage large data sets, organizing data, working on database optimization, etc. in partnership with the Investment Data Strategy and Management team.
Maintain knowledge about industry/peer activities and trends in investment portfolios and an understanding of the implications for our business.