Quantitative Analytics Developer
- Competitive Base & Bonus
- Philadelphia, PA, USA
- Permanent, Full time
- Ashton Lane Group
- 17 Nov 17 2017-11-17
Responsible for developing methodology and maintaining the asset and liability models supporting the annuities hedging program for a national financial firm.
- Develop models for financial products including insurance guarantees and various assets, particularly derivatives.
- Advance technical design discussions regarding economic modeling of financial instruments.
- Support product development initiatives including developing and improving the annuity simulation engine, reviewing pricing strategies, assumptions, and product features.
- Prepare technical documentation including methodology, process, and design documentation
- Present and communicate technical matters to a wide range of technical and non-technical audiences.
- Monitor and implement best practices in high performance computing and financial modeling
- Partner with Risk IT team to productionize models
- Provide direction on complex assignments, projects, and/or initiatives to build and enhance the capability of his/her assigned area(s) of responsibility.
- Continually looks for opportunities to add value to the enterprise by partnering with the businesses on strategic projects.
- 5+ years’ experience model development with strong analytical problem solving skills
- Exposure to insurance guarantees/actuarial modeling preferred but not required
- Demonstrated understanding of option theory and risk measure. Understanding of Monte Carlo Simulation techniques and modeling of market factors.
- Ability to read and write code - Broad experience with or knowledge of C++, Python, Matlab, and VBA
- Excellent verbal and communication skills
- Master’s/PhD in mathematics, actuarial science, statistics or finance preferred
For immediate consideration, please forward resume and contact details to: firstname.lastname@example.org
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