Director, Quantitative Investment Modeling and Support

About the role

Providing for loved ones, planning rewarding retirements, saving enough for whatever lies ahead – our policyholders count on us to be there when it matters most. It’s a big ask, but it’s one that we have the power to deliver when we work together. We collaborate and innovate – pushing one another to transform not just Pacific Life, but the entire industry for the better. This role sits on the Investment Risk division working in a matrix environment with other quants and risk professionals, accounting leaders, investment professionals, and senior actuaries.

Responsibilities

• Develop analytics and insights that support Pacific Life Risk Management’s oversight of investment modeling across the investment portfolio.
• Support and develop (including code development) production processes such as quarterly cash flow generation and market risk analytics for all assets.
• Provide insights and support to actuaries on investment modeling.
• Drive business outcomes, demonstrate leadership attributes, and transform concepts into actionable quantitative models.

Requirements

• 5-10+ years of direct experience modeling complex and illiquid assets such as corporate credit, residential and commercial loans, private and public ABS, CMBS, RMBS, CFOs, and CLOs.
• MFE or PhD degree in a quantitative area such as Finance, Math, Engineering, or a related field. CFA/FRM designation is preferred.
• Demonstrated experience in coding in languages such as MATLAB, SAS, R, Python, etc., including automation of production processes for analytic and cashflow generation.
• Demonstrated experience with investment analytical systems such as Bloomberg, Intex, RiskSpan, FactSet, Aladdin, CoStar, Trepp, Moody’s, and S&P.
• In-depth knowledge and experience across a broad range of asset classes including:
  • Public fixed-income securities.
  • Public structured products including CLOs, CMBS, RMBS, and ABS.
  • Private ABS, inclusive of securities backed by esoteric collateral.
  • Commercial and residential loans.
  • Derivatives, including swaps, options, futures, forwards, and other hedging instruments.

What Makes You Stand Out

• First-hand, in-depth knowledge of investment risk methodologies and quantitative decision-making to work with investment professionals and actuaries.
• Expert-level knowledge and experience in modeling a broad range of investments and applying best practices in quantitative methods and strategies to the investment/risk management process.
• Experience with Asset Liability Management (ALM), regulatory capital, and statutory accounting is a plus.

Pay

The base pay range noted represents the company’s good faith minimum and maximum range for this role at the time of posting. The actual compensation offered to a candidate will be dependent upon several factors, including but not limited to experience, qualifications, and geographic location. Most employees are also eligible for additional incentive pay.

$203,760.00 - $249,040.00

Benefits

Your benefits start on day one and are designed to support your physical, financial, emotional, and social wellbeing.

• Medical, dental, and vision coverage.
• Wellbeing Reimbursement Account that can be used for yourself or eligible dependents.
• Generous paid time off options including:
  • Paid Time Off (PTO).
  • Holiday schedules.
  • Financial Planning Time Off.
• Paid Parental Leave and Adoption Assistance Program.
• Competitive 401k savings plan with company match and an additional contribution regardless of participation.