This Quantitative Research and Development role is a part of our Derivative Strategy and Trading team and will contribute to the development of our propriety systems and tools to support our hedge program and investment portfolio; this includes trading systems, back testing tools, valuation software, analytics, reporting, capital markets research, and various models.
Principle Responsibilities:
- Evaluates the embedded market risks inherent to Variable Annuity products and builds an understanding of how those risks are strategically managed through a hedge program and investment portfolio while attempting to reduce risk to a strategically acceptable level.
- Assists in the research of theoretical valuation methodologies and models for derivatives and/or financial instruments.
- Assists in the implementation of practical valuation solutions for the business to utilize.
- Works toward attaining a high level of knowledge of the derivatives and/or investments contained in the company portfolio.
- Utilizes code libraries for market consistent valuations, statistics, solve optimization problems, analytics and attributions.
- Enhances tools required to analyze strategic hedging, investment and business decisions.
- Works toward developing a strong knowledge of market parameters and their impact on the value of VA Products and financial/derivative instruments within the company portfolio.
- Performs research, ad-hoc analysis and reporting as needed.
- Assists in the application of scalable technology to support the business and enhance the efficiency of our main profit centers.
- Assists in managing large data sets; consultation on database structures, organize data, and work on database optimization, etc.
- Assists in testing new system components and features.
Knowledge, Skills and Abilities:
- Advanced degree preferred in a quantitative field such Mathematics, Physics, Statistics, Engineering, Computer Science, Economics, or Financial Engineering.
- 1-3 years of related work experience in a quantitative role.
- Possess Quantitative/analytic reasoning and problem-solving abilities and a basic understanding of how to apply numerical methods to business problems.
- Working knowledge of Derivative Pricing and Fixed Income investment products.
- Strong, practical computer programming sills, experience in Python is highly preferred.
#LI-DP1
Venerable Values:
Every position at Venerable has responsibility for living out the company's values as described here:
We are Courageous -
We think critically, ask "why?" and seek out creative solutions.
We are Curious - We take calculated risks, learn from out failures, and challenge traditional ways of thinking.We are Connected - We are connected to each other, our customers and our community.
