Quantitative Developer - ALM

Key Responsibilities

• Design and development of ALM model architecture including building out asset analytics, projected portfolio construction and core ALM modeling framework.
• Establish and evolve the asset assumption framework, including interest rate and spread curves, reinvestment assumptions, prepayment models and behavioral overlays, ensuring assumptions reflect current market conditions and portfolio strategy.
• Drive strategic balance sheet analysis in quantitative and qualitative measures, translating ALM model output into actionable insights on portfolio positions, liability matching, duration management, and hedging strategy.
• Develop and enhance scenario and sensitivity frameworks to stress-test balance sheet resilience across interest rate, credit and liquidity risk dimensions.
• Identify and evaluate strategic optimization opportunities across the asset portfolio, including sector allocation, instrument selection, and hedging overlays.
• Own the quantitative methodology underpinning key ALM metrics — including duration, convexity, surplus volatility, and liquidity coverage — and drive continuous improvement in modeling sophistication.
• Collaborate with senior stakeholders to communicate complex quantitative findings clearly, supporting board-level and regulatory reporting requirements

Qualifications

• 5–7 years of experience in a quantitative, financial engineering, or ALM-focused role within insurance, banking or other financial institution.
• Bachelor's degree in Mathematics, Engineering, Computer Science, Finance, or a related quantitative field
• FSA, CFA or an advance degree is preferred
• Proficiency in Python and SQL; experience with Excel/VBA required
• Experience working with an enterprise ALM Modeling platform (including but not limited to one of Moody’s Axis, Prophet, ALFA/Integrate)
• Familiarity with Fixed Income Asset Valuation and Projection Platforms (including but not limited to Blackrock Aladdin, Numerix CrossAsset / PolyPaths, Beacon, Bloomberg MARS).
• Solid understanding of insurance ALM concepts including liability-driven investing (LDI), cash flow matching, interest rate risk, and liquidity risk management
• Familiarity with insurance liability structures such as annuities, life insurance or other long duration products.
• Knowledge of statutory and GAAP reporting frameworks relevant to life insurance (US STAT/GAAP, BMA, IFRS).
• Strong analytical and problem-solving skills with a high attention to detail
• Ability to communicate complex quantitative concepts clearly to non-technical stakeholders
• Ability to work efficiently both in a team setting, and independently.