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Sr. Analyst, Investment Quantitative Analysis

Company: RGA Reinsurance Company
Location: Chesterfield
Posted on: March 18, 2023

Job Description:

Position OverviewThe Senior Analyst, Quantitative Analysis is part of a team that develops and delivers tools, models, research, and reporting packages that inform and accelerate portfolio construction, investment decision making, risk analysis and monitoring, and performance reporting and attribution. The Senior Analyst leads/participates in efforts to build and calibrate cash flow, pricing, and various other risk models across a broad span of asset types, while focusing on assessing, monitoring, stress testing and reporting on all components of risk arising for RGA's investments.Responsibilities

  • Assist in the design, development, and maintenance of scalable yet versatile investment strategies, portfolio optimization and risk models utilizing market, position, and transaction investment data.
  • Build and calibrate models that measure and stress the investment portfolios under deterministic scenarios or utilizing a stochastic economic scenario generator across fixed maturities and other assets classes.
  • Evaluate, develop, and implement refinements to risk models for the investment portfolio including reporting packages for management to review investment model outputs, sensitivities, and results.
  • Work closely with the Investment Solutions team in the construction of portfolios for reinsurance blocks by enhancing the asset cashflow projection framework for new asset types.
  • Provide quantitative support to the Global Portfolio Management team in the preparation of annual plan process.
  • Develop models or tools for measuring relative value, risks, capital usage, and risk-adjusted return.
  • Develop deep knowledge and expertise of the investment systems and data platform and leverage such knowledge and expertise to enhance efficiency and accuracy of our quantitative processes.
  • Keep up to date on the latest developments to regulatory, rating agency and economic capital regimes and prepare impact analysis on potential portfolio implications. RequirementsEDUCATION AND EXPERIENCE Required:
    * A bachelor's degree in Mathematics, Actuarial, Finance, Engineering, Physics, Chemistry, Computer Science, Financial Engineering, or related field
    * 3-7 years of quantitative modelling and development experience within a financial services firm Preferred:
    * Strong understanding of modern financial mathematics (e.g. bond mathematics, option pricing, hedging, stochastic processes, Monte Carlo simulation in real and risk neutral environment, interest-rate modelling) and portfolio construction analytics (e.g. mean-variance optimization with constraints)
    * Understanding of life insurers' portfolio construction considerations, including but not limited to ALM and asset allocation frameworks and the use of derivatives with an insurance focus
    * Experience working with BlackRock Aladdin SKILLS AND ABILITIES * Highly advanced programming and software design skills in at least one object orientated programming language (Python / MATLAB / C++) and experience with database technologies (SQL)
    * Advanced Excel skills and experience working with Bloomberg
    * Strong problem-solving abilities, intellectual curiosity, and experience understanding and solving complex issues
    * Organized and detail oriented. High degree of comfort with large datasets
    * Advanced investigative, analytical, and problem-solving skills
    * Exceptional ability to liaise with individuals across a wide variety of operational, functional, and technical disciplines. As well as across business segments and time zones
    * Ability to work well in an environment with multiple concurrent projects, managing project-based workflow within demanding time frames and adapt quickly to new methods
    * Must work well within a team environment and participate in department/team projectsCompany OverviewReinsurance Group of America, Incorporated (NYSE: RGA) is one of the largest global providers of life reinsurance, with offices around the world. RGA delivers expert solutions in individual life reinsurance, individual living benefits reinsurance, group reinsurance, financial solutions, facultative underwriting, and product development. Our mission is to enhance our clients' prosperity by supporting their financial and risk management capabilities. State of Colorado: This information is provided per the Colorado Equal Pay Act. The pay range for this position in Colorado is $81K-$120K base per year. Base pay varies depending on job-related knowledge, skills, experience, and market location. In addition, RGA compensation includes an annual bonus plan that includes all roles and maintains a full range of competitive health and life insurance, retirement, and other employee benefits. #LI-SP1

    Job Detail

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    • Work Location
      Chesterfield MO

Keywords: RGA Reinsurance Company, Chesterfield , Sr. Analyst, Investment Quantitative Analysis, Professions , Chesterfield, Missouri

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