AVP, Market Risk & ALM and Hedging

Fortitude Re•Jersey City, NJ

14h•Hybrid

About The Position

Fortitude Reinsurance Company Ltd. (Fortitude Re) is a leading provider of legacy reinsurance solutions, working with top insurance companies to execute transformational solutions for legacy Life & Annuity and P&C lines. Fortitude Re manages a substantial general account and is backed by sophisticated institutional investors. The company has deep roots and extensive experience in the insurance industry, with a leadership team averaging over 20 years of tenure and a proven track record in managing complex legacy liabilities. Their expertise and proprietary risk modeling capabilities enable them to structure bespoke transactions beneficial to both insurance companies and policyholders. Fortitude Re is committed to growth and providing innovative solutions for the global insurance industry. The Market Risk function, part of Enterprise Risk Management, is responsible for overseeing market, liquidity, portfolio, and asset-liability management (ALM) risks across the organization's investment portfolios and balance sheet. This includes providing independent risk oversight of various exposures such as interest rate, credit spread, equity, foreign exchange, liquidity, and concentration, as well as ensuring asset-liability alignment. The team develops, enhances, and governs the economic capital framework for portfolio risks, ensuring alignment with capital adequacy and enterprise risk appetite. They also design and execute stress testing, scenario analysis, and sensitivity testing to assess resilience under adverse conditions, overseeing all risk aspects for Fortitude Life and Annuity Company (FLIAC). Through robust analytics and forward-looking assessments, the team supports proactive risk identification and mitigation, partnering with Investments, Actuarial, Finance, Capital Management, Treasury, and Credit Risk to ensure effective risk measurement, monitoring, and management within the approved enterprise risk appetite, capital framework, and regulatory requirements. This collaboration supports informed decision-making and long-term balance sheet resilience.

Requirements

Graduate degree in Financial Engineering, Quantitative Finance, Actuarial Science, or related discipline with strong quantitative finance aptitude.
Minimum of 7-12+ years of experience in market risk management, asset-liability management, and hedging and trading risk management, with a demonstrated understanding of the complexities in insurance liabilities.
Demonstrated experience leading risk professionals or complex cross-functional initiatives.
Strong quantitative and modeling expertise in derivatives, including experience with interest rate, equity, credit, volatility, correlation and portfolio models.
Strong quantitative and modeling skills, including experience with industry-standard risk management software and both market risk and insurance liability models.
Strong understanding of life and annuity insurance liability characteristics and asset-liability management principles.
Familiarity with reinsurance industry, regulatory and capital regimes (e.g., NAIC, BMA, RBC, or equivalent).
Demonstrated knowledge and understanding of various financial derivative models (interest rate, stochastic volatility, equity, etc.), and economic scenario generators is desired.
Deep knowledge of fixed income asset classes regarding their risk profiles is preferred.
Advanced proficiency in Excel and PowerPoint; experience with data analytics tools such as SQL, Power BI, or similar platforms.
Demonstrated ability to code in at least one programming language (e.g., Python, Julia, C++).
Strong analytical, problem-solving, and decision-making capabilities.
Excellent written, verbal, interpersonal and presentation skills, with experience communicating complex risk topics to senior leadership.
Proven ability to work independently and within a team environment.
High attention to detail and highly organized with strong follow-through skills.
Fast learner and adaptable to a fast-paced environment.

Nice To Haves

Experience leading projects and influencing stakeholders.
Experience overseeing derivatives and hedging program risk management.
Experience working within Bermuda regulatory frameworks.
Professional designation such as CFA, FRM, PRM, or Associate or Fellowship in the Society of Actuaries (ASA/FSA) is a plus.

Responsibilities

Lead the advancement of methodology and implementation of Fortitude Re's market risk analytics and reporting, ensuring that proper information is captured within risk reports allowing for an insightful, transparent, and effective risk management and oversight across ALM and Hedging programs.
Analyze and assess the impact of market risks on both the asset side and insurance liabilities, including interest rate risk, spread risk, equity risk, and liquidity risk.
Communicate the observations and insights with our various internal stakeholders to help drive better decisions to manage the risk of our balance sheet.
Collaborate closely with the Hedging and Trading team on day-to-day risk management efforts across the derivatives book and assets and liabilities in our balance sheet.
Proactively identify and analyze potential market risk exposures across our balance sheet and, as well as collaborate and contribute to the development and implementation of robust hedging strategies.
Analyze and evaluate the effectiveness of existing and proposed hedging programs (e.g., Equity, Interest Rate, New Business Market Risk, FX, and Fund Basis risk) from both quantitative modeling and operational perspectives, recommending hedging strategies to optimize market risk mitigation and enhance portfolio performance and PnL.
Identify issues, gaps, and research solutions as related to asset liability management practice, with a focus on optimizing risk management for firm’s balance sheet with specific insurance liabilities.
Stay abreast of evolving regulatory requirements and industry best practices in Market Risk management, hedging strategies and ALM, leveraging knowledge to support enhancing Fortitude Re's existing risk management strategies and framework.
Collaborate with Investments, Actuarial, Finance, Capital Management, and Treasury to strengthen asset-liability management, liquidity and hedging risk management frameworks for both in-force portfolios and new business initiatives.
Maintain a deep understanding of insurance liability dynamics and their impact on the company's risk profile, including the liabilities of the new reinsurance deals.
Monitor compliance with applicable regulatory frameworks (e.g., NAIC, BMA, RBC, or equivalent) and rating agency expectations related to ALM, Hedging and Liquidity risks.
Support internal audits, regulatory examinations, and external reviews related to portfolio risk management.
Promote a collaborative, accountable, and high-performance team culture aligned with organizational objectives.