Director, Quantitative Analytics

Fidelity & Guaranty Life Business Services, Inc.

Job Title: Director, Quantitative Analytics

Location: 801 Grand Avenue, Suite 2600, Des Moines, IA 50309 (*Telecommuting role to be performed anywhere in the U.S.)

Job Duties: Manage valuation models, risk analytics and decisioning tools to support derivatives trading. Manage activities, processes, and systems related to derivative portfolio analytics for various derivative instruments. Research customized index methodologies and estimate parameters for customized index option pricing model. Create historical analysis, such as historical volatility analysis to validate the option pricing model. Provide analysis, results, such as option cost, option cap given budget for Actuarial on developing new annuity products. Develop, test, and document valuation models for derivatives, such as exotic index options or interest rate swaps. Conduct on-going performance analysis, back testing and other tests, and provide recommendations for model enhancements. Generate model valuation comparison reports to monitor the model on daily basis. Create pricing model for ad-hoc modeling projects, such as warrants or employee option. Maintain derivative valuation system, and update code for new products and pricing models. Design infrastructure of new valuation systems to fit new models and future system extension. Conduct code analysis and update code to increase system running efficiency. Provide solutions for business requirements, such as new products or product properties change.  Analyze data from relational database to generate ad-hoc reports in SQL. Create new analysis process and generate reports such as P&L attribution. Automate daily or weekly process, such as pricing sheet automation, and daily reconciliation automation. Work collaboratively with stakeholders in actuarial, finance, investments and risk to support ALM and liquidity, risk measurement and monitoring, broader portfolio management.

Work Schedule: 9am to 5pm, 40 hours a week.

Job Requirements: Bachelor’s degree (U.S. or foreign equivalent) in Finance, Economics, Statistics, Computer Science, Engineering, Math, or a related field and five (5) years of experience in the job offered or in a related role. Must have five (5) years of experience with: VBA, MATLAB, C#, Python, or Java; RDBMS (MS Access or SQL Server); derivatives modeling, risk analysis, and application development; modeling; and derivative math, portfolio risk measurement and management techniques. Must have three (3) years of experience with software used for investment analysis, portfolio management, and reporting such as Microsoft Office and Bloomberg.

QUALIFIED APPLICANTS: Please apply at F&G Careers page at www.fglife.com