Investment Valuation and Quantitative Modeling Director

About the role

The Investment Valuation and Quantitative Modeling Director role is located in Newport Beach, CA and reports to the Investment Risk Team. This role is part of a team of 12 people within the Corporate division, collaborating with investment professionals, accounting leaders, and external auditors.

Responsibilities

• Develop analytics and insights to support Pacific Life Risk Management's oversight of investment valuation across the investment portfolio.
• Own and enhance production processes supporting quarterly valuation activities, cash flow generation, and market risk analytics for all assets.
• Provide insights, guidance, and expert judgment to stakeholders on investment modeling and valuation.

Requirements

• First-hand, in-depth knowledge of investment valuation methodologies and quantitative decision-making.
• Expert-level knowledge and experience in modeling a broad range of investments and applying best practices in quantitative methods and strategies.
• 5-10+ years of direct experience modeling complex and illiquid assets.
• Demonstrated ability to clearly articulate complex quantitative concepts, modeling assumptions, and valuation results to diverse stakeholders.
• Experience modeling and valuing corporate credit, residential and commercial loans, private and public ABS, CMBS, RMBS, CFOs, CLOs, and derivatives including swaps, options, futures, forwards, and other hedging instruments.
• MFE or PhD degree in a quantitative area such as Finance, Math, Engineering, or a related field.
• Demonstrated experience in coding languages such as MATLAB, SAS, R, Python, etc., including automation of production processes.
• Demonstrated experience with investment analytical systems such as Bloomberg, Intex, RiskSpan, FactSet, Aladdin, CoStar, Trepp, Moody’s, S&P, etc.

Qualifications

• Demonstrated experience with private ABS, inclusive of securities backed by esoteric collateral.
• Strong professional judgment and comfort making defensible valuation decisions in the presence of limited data, model uncertainty, and evolving market conditions.
• Experience with Asset Liability Management (ALM), regulatory capital, and statutory accounting.
• CFA/FRM designation.

Skills

• Strong analytical and problem-solving skills.
• Excellent communication and interpersonal skills.
• Ability to work independently and as part of a team.
• Proficiency in Excel, PowerPoint, and other relevant software tools.

Benefits

Pacific Life offers a competitive base salary, comprehensive benefits package, and opportunities for growth and development. Employees are eligible for additional incentive pay and a 401(k) savings plan with company match.