Hedging Quant / Actuary
Montpelier, Vermont or Addison, TX
This position is responsible for the coordination of our hedging program for annuity and life products. This person will play a key role in quantifying our exposures and explaining our hedging results. This role is part of the Hedging team within the Investment department of National Life Group (NLG).
The Hedging Actuary/Specialist solves business problems related to system integration, optimizing hedges against insurance liabilities, performance analytics. A continuous improvement mindset is needed in this role. This role will interact with multiple areas of NLG (e.g. business, actuarial, finance, IT).
- Lead development of tools to quantify and identify P&L drivers of the hedge programs through Performance Attribution (PA) quantify. This PA process with key risk drivers is then used to identify inefficiencies to ultimately improve hedge performance.
- Lead the implementation of hedging programs for Indexed Insurance Products.
- Analyze and develop capital market solutions to manage insurance annuity ALM risk.
- Build tools to help analyze complex problems related to risk, hedging derivatives and to support special projects
- Perform research on potential hedging strategies through modeling (e.g. historical backtesting).
- May get involved in running production for daily/weekly/monthly hedging processes such as the trade preparation for static hedging.
- Interface with internal trading team to plan, coordinate and execute new ALM strategies
- Experience developing/working with multi-Greek hedging strategies for annuities.
- Contribute to the architecture and design of the hedging platform.
- Design, implement, coordinate and communicate risk reports for our hedging program
- Designing test cases, testing functionality, and validating results for production systems.
Acting as a transformational leader in applying best practices to improve and streamline current processes.
5+ years of progressive experience in an investment management, market risk management, or actuarial role.
- Prior experience with equity indexed insurance products.
- Required: Bachelor’s degree in actuarial science, economics, finance or mathematics. Preferred: Masters in Financial Engineering or equivalent.
Relevant (optional) credentials to this position: PRM, FRM, ASA/FSA.
Knowledge of following software packages: MS Excel (advance level required), VBA, Matlab, Python, Numerix, Bloomberg.Experience using and writing SQL queries.
Excellent knowledge of fixed income, equity and FX derivatives, derivative pricing techniques and models, stochastic calculus, Monte Carlo simulation and other numerical methods
Ability to: act as a change agent and to summarize complex matters succinctly.
National Life Group® is a trade name of National Life Insurance Company, Montpelier, VT and its affiliates.