Head of Derivative Strategy and Technology
Symetra has an excellent opportunity to join Symetra Investment Management Company as the Head of Derivative Strategy and Technology!
The Head of Derivative Strategy and Technology will be accountable for the growth and maintenance of SIM’s derivatives platform, strategies, and implementation. While the index-linked hedging program managed for its life insurance company affiliate is the primary initial focus, the scope will also include general-account- and other liability-focused hedging, as well as, over time, customized derivatives mandates for SIM’s third-party clients. The incumbent will manage system development and implementation, recommend tactical and strategic hedging initiatives, work with SIM legal to establish required documentation, collaborate with product development staff at the life insurance company affiliate on pricing and risk management for new product features, and manage special projects relating to the ongoing growth and operation of SIM’s derivatives capabilities.
Hedging Technology: SIM has built and maintains a proprietary hedging system to support the ongoing growth and risk management of its index-linked product liabilities (FIA, RILA, IUL). Manage system roadmap and development timeline to ensure successful deployment of needed enhancements that accommodate new product features, custom indices, crediting strategies, derivative types, and other system functionality. Using advanced knowledge of derivative pricing methodologies and techniques, numerical methods, and third-party libraries where applicable, design and build desktop modeling prototypes from first principles to support production enhancements, and work with one or more dedicated developers to replicate, integrate, test, and release such enhancements into production. Become model and valuation “owner”-- field inquiries from Symetra’s affiliated companies and other clients relating to valuation results and methods; maintain updated model documentation (methodological and technical); liaise as necessary with compliance and IT around model use, access, structure, redundancy, and controls. Hedging Strategy: SIM evaluates and implements hedging strategies with respect to both static and dynamic sleeves. Monitor market conditions and make recommendations for implementation of dynamic hedging strategies. Build and productionize tools to inform entry and exit points. Devise and test effective semi-static or quasi-replication hedging strategies for exotic options, as applicable. Documentation: SIM often requires new documentation as well as enhancements to existing documentation to support its hedging activities. Working with SIM legal and external parties (vendors, dealers, CCPs, FCMs, index providers, outside counsel, etc.), serve as the primary business contact for ensuring that such documentation (ISDA, CSA, MCA, FAA/OTC, DUP, ILA/PVA, etc.) reflects SIM’s interests and those of its clients. Product Offerings: Symetra’s product development processes require collaboration across many distinct business areas, and involvement from the hedging team is pivotal. Work with Symetra’s affiliated companies to evaluate potential product enhancements from a market risk and hedging perspective, including custom indices, new crediting strategies, and performance and/or death benefit guarantees. Special Projects: Maintenance of hedging programs and platforms routinely involves special projects that can be driven by regulatory, industry, competitive, or internal considerations (e.g. LIBOR cessation, UMR implementation). Work cross-functionally to understand key aspects and lead the resolution of critical items related to such projects. Relationships: Successful derivatives and hedging programs in insurance companies require collaboration across a host of internal and external partners. Build and maintain effective and collaborative relationships with all partners. Represent SIM ethically and professionally while effectively protecting the rights and interests of SIM and its clients. Your education, skills and experience
10-20+ years of direct, dedicated derivatives and hedging experience in a front office and/or quantitative hedging strategy role in a bank, insurance company, hedge fund, or other asset management firm. Practitioner-level knowledge of the derivatives regulatory landscape and documentation commonly used in OTC derivative trading, and experience interpreting and negotiating key business points therein. Trading / portfolio management experience in equity and fixed income derivatives, with a sound understanding of risk-neutral valuation, greeks-based dynamic hedging techniques, and quasi-replication / semi-static hedging. Knowledge of and experience with forex and credit derivatives is a plus. Quantitative development experience building desktop and/or production-level valuation and risk tools for derivatives hedging portfolios, especially exotics. Familiarity with construction and calibration of Heston/Bates and other exotic or multi-asset stochastic models. Managerial experience, particularly with respect to quantitative talent. Model governance, including model validation and documentation. Experience leading cross-functional projects. Highly quantitative educational credentials, as evidenced by (i) an M.S. / Ph.D. degree in a quantitative discipline, such as mathematics, computer science, engineering, or operations research. The ability to effectively communicate derivatives and hedging techniques, strategies, and results in various settings and in the presence of internal and external constituencies. The ability to work cooperatively and collaboratively within a team environment, and to represent the hedging team, SIM, Symetra, and Sumitomo Life with the highest professional and ethical standards with all internal and external constituencies, while serving the needs of clients. A “get it done” work ethic that supports the completion of tasks within specified timeframes, and the ability to adjust to shifting priorities as business conditions warrant, understanding that the work requirements of the position will sometimes embed inflexible deadlines. The following are not required but are highly valued:
Direct familiarity with index-linked insurance products, including indexed and/or variable annuity hedging programs Experience with NumeriX cross-asset SDK