Investment Risk Quantitative Associate I

About the position

This position supports the Company's efforts to measure, monitor and manage investment risk. Provides research, development, testing and validation of complex quantitative analytical models used in managing risks across all investment portfolios. Maintains, operates and enhances systems used to provide regular portfolio risk analytics. Supports performance measurement, benchmark development and reporting, and fixed income analytics. With direction from superiors, performs ad hoc analysis and modeling to support strategic portfolio management decisions.

Responsibilities

• Assist in the execution of investment risk model development
• Research, develop, validate and maintain the complex quantitative financial investment risk models comprising surplus stress testing model and quantitative models for assessing market, credit and liquidity risk across multi-asset class portfolio including fixed income, equity, commercial mortgage loans, derivatives, and alternative asset classes.
• Understand portfolio quantitative risk assessment techniques and methodologies such as VaR, Credit VaR, Marginal risk contribution, Expected loss, Unexpected loss, etc.
• Research and implement emerging risk mitigation techniques, risk measurement tools, risk modeling methodologies
• Support Investment Risk Management's interests in derivative management system utilization development and enhancements, and in implementing new derivative strategies.
• Help to develop complex models to monitor the risk in the derivative exposure strategy
• Keep abreast of theoretical quantitative advancements in interest rate, currency, and volatility models
• Perform and support investment risk analysis, and quantitative investment analytics including aggregation of investment activities across departments for exposure, risk characteristics, and relative value and risk analysis
• Understand modern portfolio theory and multi-assets portfolio risk/return characteristics and diversification benefits of new investment types considering risk/return trade-off and diversification benefits compared to current investment opportunities
• Understand quantitative market and credit risk assessment.
• Perform stress test of the portfolio for market, credit, and liquidity risks while considering an interaction with insurance liabilities, regulatory, and rating agency requirements
• Evaluate the impact of changing investment limits and strategies
• Support the development and implementation of new or enhanced investment risk management techniques, analysis and procedures
• Support the capital market assumption and economic scenario processes across enterprise initiatives.
• Support the development of annual capital market assumptions for general account portfolios. Maintain and evolve the CMA framework; ensure fit-for-purpose across key stakeholders; create and publish annual CMA results.
• Support the development of annual economic scenarios for client planning and wealth management applications. Maintain and evolve the scenario framework; ensure fit-for-purpose across key stakeholders; create and publish annual scenario results.
• Aggregate total benchmark risk characteristics
• Compare investment activities across departments for relative value analysis
• Measure, monitor, and report on out-of-benchmark positions
• Determine appropriate ranges for various investment exposures based on diversification and risk/reward characteristics

Requirements

• Bachelor of Science degree in quantitative finance, financial mathematics, economics or other quantitative field
• Strong competencies in finance and advanced mathematics and statistics, including stochastic calculus, probability theory, Monte Carlo simulation techniques, requires proven technical aptitude.
• Strong expertise in equity and fixed income risk assessment, with a solid grasp of market, credit, and liquidity risks, stress testing, VaR, and scenario analysis.
• General understanding of financial statement analysis
• Utilizing SQL and other data tools to support risk management.
• Broad working knowledge of valuation and terminology of derivatives and other investment types (including fixed income, equity, real estate, and alternative assets)
• High degree of personal initiative, demonstrated ability to work independently, excellent follow-through ability and sense of personal accountability
• Ability to deal effectively and professionally with people at all levels
• Experience using MATLAB, Bloomberg, Power BI and various analytical vendors systems including Calypso, BlackRock Aladdin, CoStar, Intex, Moody's Analytics products.