Senior Quantitative Analyst

Summary

This position will be responsible for maintaining and developing quantitative models to analyze risk in the derivatives portfolio and provide system support for FGL’s derivatives trading activity.  Analytical responsibilities will include the development of derivative pricing models (options, currencies and swaps), risk analysis/decomposition, and managing the application development efforts to support the derivatives hedging portfolio primarily, and the broader risk platform secondarily.  This role will have day to day interaction with the FGL information technology group, product and financial actuaries and the broader risk team. 

Organization

This position is within the Risk department with a focus on managing capital market risk in the assets and liabilities of the firm. This role will have no direct reports and reports to the VP, Hedging Strategy.

Duties and Responsibilities

• Development, testing, documentation and maintenance of derivatives valuation models
• Develop and enhance operational processes, tools, processes, and controls to support risk reporting and attribution and enhance effectiveness of the hedging program
• Work collaboratively with stakeholders in actuarial, finance, investments and risk to support ALM and liquidity, risk measurement and monitoring, and broader portfolio management
• Conduct on-going model performance analysis, back-testing and other tests
• Apply experience and skill to complete derivatives modeling projects aligned with established company policies and industry-wide modeling practices
• Support various tasks in response to regulatory and internal risk management requirements
• Demonstrate an ability to work with minimum supervision as well as improve ability to prioritize workload to meet deadlines and attain maximum effectiveness
• Work closely with IT team to move applications into production

Experience and Education Requirements

• Bachelor’s degree in Computer Science, Finance, Economics, Statistics, Engineering or Mathematics.  MS in mathematical finance or related field preferred
• CFA/FRM/CQF are preferred but not required
• 5+ years of technical/professional experience in financial services, banking or insurance industries
• Experience in system design and risk dashboard development will be preferred
• Three - Six years of experience in derivatives modeling, risk analysis, and application development required
• Life/annuity actuarial experience would be a plus but not required
• Familiarity with the markets and an understanding of finance, mathematical finance, economics, accounting, investment, and insurance principles and practices

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