AVP, Quantitative Risk Analyst

Flex Employee Services; New York (NY); On-site; USD 110,000 - 150,000; Full time

Job summary

A leading company in financial services seeks a Risk Analyst to join their Global Investments Risk Management team. This role involves developing and enhancing risk analytics and models, supporting investment risk frameworks, and collaborating across teams. The ideal candidate will have extensive experience in risk analysis and strong programming skills, particularly in Python and C#.

Benefits

Medical insurance

Vision insurance

401(k) plan

Generous paid time off

Qualifications

• 6+ years of experience in financial services risk management.
• Master’s degree in relevant fields preferred.
• Experience in modeling fixed income asset classes desirable.

Responsibilities

• Lead the development of the investment risk system.
• Automate data flow and investment risk report production.
• Provide quantitative support for risk management decisions.

Skills

Analytical skills

Critical thinking

Model development

Programming in Python

Programming in C#

Risk analysis

Education

Master’s Degree in Financial Engineering

CFA or FRM certification

Tools

Python

C#

Job description

Our Client (known as GI) is a wholly owned subsidiary of a large Insurance Organization. GI is headquartered in New York’s financial district on Wall Street and is the organization responsible for the overall investment activities of The Parent Company and its subsidiaries in Japan, the U.S., and Bermuda. With ~150 employees globally, GI manages an investment strategy focused on maximizing long-term returns with a focus on preservation of capital, subject to our affiliated insurance company’s objectives for income, asset-liability management, liquidity, and capital. GI is responsible for generating approximately $3.5 billion of annual investment income from The Parent Company’s general accounts from a mix of public and private assets (including strategic partnerships) across multiple geographies and currencies. As of year-end 2023, their total general account portfolio was $100 billion.

The investment teams support GI’s overall goals and objectives by implementing, managing, and overseeing multiple portfolios encompassing different strategies across various fixed income and growth asset classes utilizing both internal teams of analysts, portfolio managers, traders and external third-party asset managers. GI utilizes a rigorous approach to deploying and managing assets driven by a disciplined strategic asset allocation which establishes portfolio parameters based on long term expectations for performance.

POSITION SUMMARY

Working as a member of GI and the Global Investments Risk Management (GIRM) team, participate in the delivery of second line risk management and associated analytics for investment and investment related activities in The Parent Company’s subsidiary, GI. Collaborate on the development, implementation and validation of the division’s investment risk and capital models. Support the enhancement of the investment risk framework to ensure robust identification, assessment, measurement and monitoring of key risks.

KEY RELATIONSHIPS

Role Reports to: Vice President, Investment Risk

Primary Relationships: GIRM team members, Quantitative Analytic Solutions team, GI information technology, GI business leaders and staff, ERM, business partners including accounting, tax, legal, actuarial, treasury

OVERALL RESPONSIBILITIES

• Work with existing GIRM members to advance the development of the company’s risk analysis system; in particular, lead the technical development and/or maintenance of the investment risk system production environment (in Python/C#), including but not limited to risk simulation tool, regulatory capital ratio methods, extreme tail event stress testing and economic scenario generator (ESG).
• Lead efforts to automate the data flow, calculation and production of regular investment risk reports for senior management and business partners
• Provide quantitative support and business insight to senior management for different investment and risk management decisions, through analyses of financial impacts due to exposures in market risk, credit risk etc.
• Work closely with front office teams for different types of asset classes portfolio monitoring, including credit, derivatives and alternative assets and perform relevant risk analysis.
• Collaborate with team to perform second line comprehensive risk analyses across investment risks to ensure compliance with the firm’s risk appetites, tolerances and investment risk limits
• Work closely with Quantitative Analytic Solutions team to validate and calibrate models to support implementation
• Provide documentation and validation of models and calibration techniques
• Collaborate with GIRM’s technologists to ensure models are efficient and robust as deployed into production
• Provide support for Market and Credit risk analysis
• Participate in the production and presentation of oral and written analyses and concepts, including management recommendations, to senior management. Assist in the preparation of management and committee reports.

CANDIDATE QUALIFICATIONS

• 6+ years of relevant work experience in financial services risk management (preferably life insurance), either in industry, or as a consultant
• Master’s Degree in Financial Engineering, Mathematical Finance or Mathematics or a related major is desirable
• CFA, FRM, Actuarial credentials or similar investment risk management credentials a plus
• Strong model development experience in programming languages such as C#, Python, and VBA is a must
• Experience modeling public and private fixed income asset classes, public and private equity, derivatives and alternatives is desirable
• Knowledge of statistics and its application to the financial services industry
• Life insurance actuarial modeling and implementation experience is a plus, as is familiarity with life insurance company financial statements
• Strong analytical and critical thinking skills is a must
• Strong verbal and written communication skills
• Highly organized with the ability to work on multiple projects with different deadlines
• Team player

This compensation range is specific to the job level and takes into account the wide range of factors that are considered in making compensation decisions including, but not limited to: education, experience, licensure, certifications, geographic location, and internal equity. The range has been created in good faith based on information known to The Company at the time of the posting. Compensation decisions are dependent on the circumstances of each case. This salary range does not include any potential incentive pay or benefits, however, such information will be provided separately when appropriate.

In addition to the base salary, we offer an array of benefits to meet your needs including medical, dental, and vision coverage, prescription drug coverage, health care flexible spending, dependent care flexible spending, supplemental policies, 401(k) plans, and generous paid time off. You’ll also be granted time off for designated paid holidays and other leaves of absence, if eligible, when needed to support your physical, financial, and emotional well-being. The Company complies with all applicable leave laws, including, but not limited to sick, adoption and parental leave, in all states and localities.

Seniority level

• Seniority level

  Mid-Senior level

Employment type

• Employment type

  Full-time

Job function

• Job function

  Finance and Information Technology

• Industries

  Financial Services and Insurance

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Inferred from the description for this job

Medical insurance

Vision insurance

401(k)

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