Within Aflac Asset Management, LLC, the Investment Risk Quantitative Analyst is a member of the Investment Risk team located in downtown Manhattan. The position works in close collaboration with front, back and compliance departments to meet the Investment Risk Management's Group's objectives supporting the company's overall investment portfolio objectives and is part of a growing team of investment risk professionals, with a particular focus on quantitative risk analytics and model development in a large global life insurance company. The focus will be on day to day data management responsibilities and adherence to the Investment Risk Management guidelines, policies, and procedures. In addition to the daily responsibilities described below, the Investment Risk Quantitative Analyst will also work on quantitative investment risk projects, model support, and overall governance; while helping to support communications with investment risk projects and practices with colleagues in Tokyo and Columbus, GA (headquarters). Additional working knowledge of such concepts as Capital Measurement, Regulatory Analytics (Risk Based Capital and Solvency Margin Ratio), Economic Scenario Generator, Hedging Strategies involving Foreign Exchange and Efficacy Projection, whilst performing these for an insurance asset manager is ideal. Investment working knowledge of Fixed Income (core and core+), FX/Derivatives, Floating Rates, MMLs and other Loan assets, and Alternatives.
Work and collaborate with internal stakeholders as it relates to Quantitative Investment Risk analytics (governance and stewardship) in support of sr. leadership, portfolio managers, external management team, trading, accounting, finance, tax, compliance, legal, operations, technology, actuarial and risk management as it relates to quantitative investment risk analytics and model development to be used by investment professionals in a large Global Life Insurance Asset Management Company.
- Assist with the design and play a major role in the implementation of quantitative analytics pertaining to the assessment and management of the company's investment strategies and risks, including but not limited to valuation of complex asset structures, multivariate stochastic scenario generation, complex financial projections, extreme tail event stress testing, regulatory capital modeling, and other portfolio metrics along with other variables to streamline and enhance Aflac Global Investments overall strategic plan and mission.
- 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, asset/liability risk and / or operational risk
- Advance the development of the company's next-generation investment platform and enterprise-wide risk system by assisting the conversion from their respective prototype models into production ready platforms in C++, C and/or Python or equivalent programming languages, as well as liaise with IT partners to achieve maximum efficiency in the data piping and storage
- Assist with the management of code repository and source codes for all analytics performed by Aflac Global Investment Risk Management
- Provide subject matter expert advices on all asset model programming and coding related issues within Aflac Global Investment Risk Management.
- Provide subject matter expert advices on all asset model programmining and coding related issues within Aflac Global Investments Risk Management
- Interact collegially and professionally with other members of the investment risk management team, as well as other departments such as portfolio management, trading, accounting, actuarial, IT, etc.
- Participate on special and ad-hoc projects, as needed
- 3+ years of experience in building advanced quantitative models and databases for large financial institutions such as banks, insurers, fund managers, relatable internships, etc.
- Comprehenisve understanding (including theoretical) in valuation, stress testing, and quantitative analytics for asset structures - vanilla and exotic; examples include complex embedded options in bonds, structured mortgage and credit assests, exotic derivatives, etc.
- Act as member of team providing management risk reporting.
- Ideally some direct experience and theoretical understanding in valuation, stress testing and quantitative analytics for asset structures vanilla and exotic; examples include complex embedded options in bonds, structured mortgage and credit assets, exotic derivatives, etc.
- Ability to write advanced computational algorithms for financial models in programming languages such as C++ / C# / QuantLib, Python, MatLab, etc. is essential.
- Knowledge of grid-based computing and have significant experience in setting up / operating quantitative models over multi-server / grid-based infrastructure is a plus
- Sound business communications skills and be able to explain complex mathematical / statistical methods plainly and concisely
- Advanced degrees in quantitative finance, financial mathematics, actuarial science, computer science, engineering or physics required; PhD degrees, especially in financial mathematics / computer science, would be considered a big plus; other investment industry accreditations such as CFA, FRM also viewed favorably
- Intermediate level understanding of (investment) accounting principles would be viewed positively
- Team oriented personality and willingness to multi-task in small project teams