Market Risk Analyst

MetLife, Inc. • Whippany, NJ

54d • $146,500 • Hybrid

About The Position

At MetLife, we're leading the global transformation of an industry we've long defined. United in purpose, diverse in perspective, we're dedicated to making a difference in the lives of our customers.

Requirements

• Master's degree in Mathematics, Computer Science, Statistics, Finance or Actuarial Science or related field (will accept foreign education equivalent) and one (1) year of experience programming in Python and SQL.
• Alternatively, Bachelor's degree in Mathematics, Computer Science, Statistics, Finance or Actuarial Science or related field (will accept foreign education equivalent) and three (3) years of experience programming in Python and SQL.
• Position requires experience in the following: Performing pricing and risk analysis across various asset classes using in Numerix CrossAsset and Numerix Python API.
• Performing financial modeling for various derivative products such as rates, equity, foreign exchange (FX), inflation, and credit.
• Utilizing advanced analytics techniques, including derivatives analysis, to perform data analysis and leverage python visualization.

Responsibilities

• Participate in the development and maintenance of risk neutral hybrid models used globally across MetLife in the economic valuation and modeling of liability and derivative risk (5%).
• Support market risk analysis on MetLife's assets and liabilities (10%).
• Enhance hybrid risk models and validation process for risk neutral scenarios and modeling derivative portfolio risk utilizing Python with Numerix applications (5%).
• Maintain and monitor risk neutral scenario generation process and derivatives risk calculation production process (10%).
• Monitor significant market movements and work with others to understand and communicate changes in the liability profile (10%).
• Partner with ALM, Investments, Middle Office, Front Office and IT to meet objectives and build strong working relationships (5%).
• Develop Replicating Portfolio Model for liability portfolios (30%).
• Support Numerix derivative counterparty exposure modeling and limit monitoring (5%).
• Design and implement working repository, optimize algorithm and matrix calculation (20%).

Benefits

• MetLife offers a comprehensive benefits program, including healthcare benefits, life insurance, retirement benefits, parental leave, legal plan services and paid time off.
• Our U.S. benefits address holistic well-being with programs for physical and mental health, financial wellness, and support for families.
• We offer a comprehensive health plan that includes medical/prescription drug and vision, dental insurance, and no-cost short- and long-term disability.
• We also provide company-paid life insurance and legal services, a retirement pension funded entirely by MetLife and 401(k) with employer matching, group discounts on voluntary insurance products including auto and home, pet, critical illness, hospital indemnity, and accident insurance, as well as Employee Assistance Program (EAP) and digital mental health programs, parental leave, volunteer time off, tuition assistance and much more!

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Industry: Insurance Carriers and Related Activities
• Number of Employees: 1,001-5,000 employees