The Chief Investment Office is seeking to enhance its risk analytics capabilities for strategic/tactical asset allocation and special projects.
Requirements
- Experience with object-oriented programming languages such as C-Sharp, Java, or C++
- Knowledge of basic software-engineering concepts
- Experience with financial engineering and pricing fixed-income assets
- Experience with optimizers and optimization techniques
- Knowledge of and experience with scripting programming languages such as Python or MatLab
- Knowledge of and experience in designing asset-liability models
Responsibilities
- Design, build, and enhance comprehensive asset-liability models for use in analysis of investment and hedging strategies
- Design, build, and enhance optimization models
- Use models such as, economic scenario generators, liability cash-flow models, and replicating portfolios to develop asset allocation and hedging strategies
- Develop key insight into liability characteristics across the major product lines
- Lead special projects that require quantitative expertise
- Collaborate closely with Investment Risk, Asset Management, Actuarial, Treasurer’s and Finance
Other
- Bachelor's or higher degree in financial engineering, mathematics, computer science, statistics or other quantitative fields
- Creative problem solver with an aptitude for complex technical work
- Must be able to work on-site on a reoccurring basis as determined by the business
