Lead ALM Modeler

Responsibilities

• Support modeling activities on various insurance liabilities, fixed-income assets and derivatives in actuarial systems, including AXIS/ALFA/MoSes.
• Quantify risks including equity and interest rate sensitivities, cash flow variability, credit, alternative investment, or liquidity risks.
• Collaborate with key stakeholders from business line valuation, ALM, risk management, and financial/risk reporting etc.
• Embrace new technologies to improve workflows.
• Build and apply external or embedded controls to mitigate operating risks in workflows.
• Apply risk management techniques and procedures, including the company's mandated risk methodologies.
• Gather and analyze market data, calculate hedge program or portfolio statistics and develop/use models to simulate financial reporting processes.

Qualifications

• Bachelor’s degree in a technical/quantitative discipline such as statistics, math, actuarial science, computer science, economics, engineering, or a related business field such as finance.
• Eight years of modeling experience (or six with Master's degree) with expert knowledge in two or more products such as insurance liability, asset valuation, derivatives modeling, liquidity management, machine learning, or artificial intelligence.
• Familiarity with asset liability management practices.
• Good understanding of investment and finance concepts, and the ability to creatively apply them in solving analytical problems.

Preferred Qualifications

• Advanced degree.
• Insurance or asset/derivatives modeling experience.
• Programming experience in C++/C#/Python or other advanced language.
• Actuarial Science background.
• Experience with database design and usage.
• MoSes/AXIS/ALFA or other actuarial software.
• SAS, R, SPSS or other statistical software.