Sr. Quantitative Analyst

F&G is hiring for a Sr. Quantitative Analyst. This position will be responsible for maintaining and developing quantitative models to analyze risk in the derivatives portfolio and system of next generation to support new products as well increasing demand of trading activities.  Analytical responsibilities will include the research and development of derivative pricing models (options, currencies and swaps), current models enhancement and provide solutions to support the derivatives hedging portfolio management primarily, and the broader risk platform secondarily. This role will partner with other members of the quantitative analytics team to integrate independent applications into one system. This role will have day to day interaction with the FGL information technology group, product and financial actuaries and the broader risk team. 

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

Duties and Responsibilities

• Development, testing, documentation and maintenance of derivatives valuation models
• Assist with the development of Hedging Strategies and analytical models to optimize current derivative portfolio and trading strategies.
• 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 validation
• Apply experience and skill to complete derivatives modeling projects aligned with established company policies and industry-wide modeling practices
• Optimize current system and design as well as implement valuation system for next generation
• 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

Experience and Education Requirements

• Bachelor’s degree in Computer Science, Finance, Economics, Statistics, Engineering or Mathematics.
• MS in mathematical finance or related field preferred
• 3-5 years of experience in derivatives modeling, risk analysis, and application development required
• 3+ years of technical/professional experience in financial services, banking or insurance industries
• 3+ years of programming experience (VBA, MatLab, Python, and Java preferred) and experience with working on RDBMS (MS Access, SQL Server)
• CFA/FRM/CQF are preferred but not 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

Knowledge, Skills & Abilities

• The ideal candidate will be highly detail-oriented, well-organized, independent, entrepreneurial, assertive, self-motivated, possess excellent interpersonal skills and be able to prioritize in a fast-paced environment
• Strong quantitative, analytical, modeling, and written and oral communication skills
• Demonstrated strong knowledge and expertise in derivative math, portfolio risk measurement and management techniques
• Proficient knowledge of software used for investment analysis, portfolio management, and reporting such as Microsoft Office, Bloomberg

Other Requirements

• Perform other functions, duties and projects as assigned
• Regular and punctual attendance
• Minimal travel required (less than 20%)

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