Senior Quantitative Researcher/Developer

Venerable•West Chester, PA

2d•Hybrid

About The Position

This Senior Quantitative Research and Development role is a part of Venerable’s Quantitative Modeling Solutions group, which works within the greater Risk organization to provide quantitative solutions and oversees and enhances internal risk platforms and applications. Examples of areas of focus include, but are not limited to: trading systems, back testing tools, valuation software, analytics, reporting, capital markets research, and various models. Venerable is currently working in a Hybrid Work Model, in the office 3 days/week and remote 2 days/week. This role is based in our West Chester, PA office.

Requirements

Undergraduate degree plus 3-5 years of progressive experience in a highly technical, quantitative field (Financial Engineering, Quantitative Finance, Mathematics, Computer Science, Finance, Actuarial Science); advanced degree or equivalent advanced certification (CFA, ASA, FSA, CQF, etc.) preferred.
Practical experience in Computational Finance, Modeling, Stochastic Simulation, Econometrics/Regression is desirable.
Quantitative/analytic reasoning and problem-solving abilities and a basic understanding of how to apply numerical methods to add business value (e.g., curve fitting, optimization, root-finding algorithms, etc.).
Strong, practical OOP experience (C#, C++, Python, Java, etc.).
Knowledge of Derivative Pricing Theories, with an understanding of underlying theoretical assumptions and model limitations; knowledge of Equity and/or Fixed Income markets a plus.
Interest in the Capital Markets; knowledge of fixed income investment products, VA product features and embedded optionality, Capital Markets dynamics and valuation approaches, system design and development principles a plus.
Comfort with ambiguity and a bias for delivering results.
Excellent analytical skills, with strong attention to detail.
Strong written and verbal communication skills.
Knowledge of and comfort working with various database archetypes (e.g., MSSQL, Aurora Postgresql, etc.); knowledge of database design and optimization.
Knowledge of reporting tools (PowerBI, Tableau, Alteryx, SSDT, DAX, etc.) is a plus.
Knowledge of AWS technologies (EC2, RDS, Lambda, S3, Athena, Glue, etc.) is a plus.

Nice To Haves

advanced degree or equivalent advanced certification (CFA, ASA, FSA, CQF, etc.)
Practical experience in Computational Finance, Modeling, Stochastic Simulation, Econometrics/Regression
Knowledge of Equity and/or Fixed Income markets
Interest in the Capital Markets; knowledge of fixed income investment products, VA product features and embedded optionality, Capital Markets dynamics and valuation approaches, system design and development principles
Knowledge of reporting tools (PowerBI, Tableau, Alteryx, SSDT, DAX, etc.)
Knowledge of AWS technologies (EC2, RDS, Lambda, S3, Athena, Glue, etc.)

Responsibilities

Applies understanding of the Variable Annuity business, and the embedded market risks inherent to Variable Annuity products, to understand how those risks are strategically managed through a hedge program and investment portfolio while working to reduce risk to an acceptable level.
Develops and/or utilizes code libraries for market consistent valuations, statistics, analytics, and attributions.
Conducts research on theoretical valuation methodologies and models for derivatives and/or financial instruments.
Develops practical valuation solutions for the business to utilize.
Attains a high level of knowledge of the derivatives and/or investments contained in the company portfolio.
Develops a strong knowledge of market parameters and their impact on the value of VA Products and financial/derivative instruments within the company portfolio.
Applies scalable technology to support the business and enhance the efficiency of our main profit centers.
Acts as a point of contact for and subject matter expert on bespoke business systems and models within functional area.
Acts as a communication liaison between the business and IT areas.
Consults on database structures, organizes data, and works on database optimization, etc.
Coaches and develops junior colleagues.
Performs research, ad-hoc analysis, and reporting as needed