AVP, Quantitative Investment Risk - Asset Liability Management
Aflac
full-time
Posted on:
Location: New York • 🇺🇸 United States
Visit company websiteSalary
💰 $100,000 - $210,000 per year
Job Level
Lead
Tech Stack
Python
About the role
- Participate in Asset Liability Management (ALM) strategy development and associated analytics for investment and investment related activities in Aflac’s subsidiary, Aflac Asset Management LLC (AAMLLC)
- Collaborate with investment, actuaries and risk functional teams to ensure alignment of investment strategy with liability structures
- Support Aflac’s global reinsurance strategy
- Contribute to the development of quantitative risk analytical framework to support ALM strategies
- Provide advice and support for risk analysis and reporting, hedging strategies, regulatory compliance, cash management and liquidity, optimizing capital allocation strategy(ies)
- Apply qualitative and quantitative solutions including advanced statistical analytics, risk methodology transitions, model enhancements and stress testing
- Support economic and regulatory capital modeling and analytics with focus on ALM
- Participate in presentation of oral and written analyses and concepts, including management recommendations, to senior management
- Collaborate with Quantitative Analytic Solutions team to support assets, derivatives, and liabilities
- Collaborate with Global Risk, Japan Investment Risk Management (JIRM), Capital Modeling and Actuarial teams to support enterprise ALM initiatives
Requirements
- 6+ years of relevant work experience in financial services risk management (preferably life insurance)
- Master’s degree in quantitative fields such as Financial Engineering, Mathematical Finance, Mathematics, Actuarial Science or a related major is desirable
- CFA, FRM, Actuarial credentials (ASA or FSA) or similar investment risk management credentials a plus
- Quantitative and programming skills a must; strong model development experience in programming languages such as Python is a must
- Experience modeling public and private fixed income asset classes, public and private equity, derivatives and alternatives is desirable
- Knowledge of statistics and its application to the financial services industry
- Life insurance actuarial modeling and implementation experience is a plus
- Understanding asset liability management (ALM), capital management, liquidity management is a plus
- Strong analytical and critical thinking skills is a must
- Strong verbal and written communication skills
- Highly organized with the ability to work on multiple projects with different deadlines
- Team player