Senior Financial Risk Analyst

Position Overview

Under limited supervision, carry out economic scenario generation, hedging, derivatives pricing and other capital markets related analyses, as well as research of theoretical developments related to the above. Assist in applying the findings to efficient hedging implementation and enhanced pricing support. Assume responsibility for set-up and maintenance of all necessary databases and tools, including scientific software configuration and source code file management.

Responsibilities

• Performs economic scenario generation activities using both frequentists and Bayesian MCMC techniques including: optimization and debugging of Matlab and VBA code, re-evaluation of generator(s) parameters, tuning of generator input assumptions with minimal oversight, and analysis of comparative ESG techniques.
• Provides quantitative analysis for hedging via computing model-dependent Greek in continuous-time models and other capital markets related pricing activities with only minimal oversight.
• In the context of multifactor correlated Hull-White model, LMM, Heston Stochastic Volatility, Intensity and Structural credit models perform Risk Neutral Scenario Generation and Monte Carlo simulations-based pricing of exotic derivatives using variance reduction techniques.
• Ensures economic databases are kept up-to-date in support of department work, including ongoing reviews of source validation and comparative consistency.
• Participates in key unit and ad-hoc department projects as needed.
• Maintains regular and predictable attendance.
• Performs other duties as required.

Requirements

Required:

Master's degree in Math, Finance, Economics with coursework in: Continuous-time finance, and SDE-base derivatives pricing.

OR

Bachelor's degree in Math or Economics with coursework in Continuous-time finance and SDE-base derivatives pricing plus 5 years of business experience in this field

Preferred:

• Master's degree in Financial Engineering or Ph.D. in a sufficiently quantitative field
• 5years experience with quantitative financial analysis
• CFA level II or FRM accreditation (for non-PhD applicants) plus actuarial FM exam

Skills and Abilities

• Basic Word, Advanced Excel and database applications (e.g., Access, Oracle, SQL or equivalent technology) and either statistical programs (ex.: SAS, Matlab, Gauss) or a computing language (C/C++)
• Demonstrated advanced optimization and debugging of Matlab and VBA code.
• Working knowledge of Hull-White model, LMM, Heston, Sthochastic Volatility, and Intensity credit models are required.
• Experience with Bloomberg API
• Expertise in computational finance, statistics
• Advanced background in econometrics, statistics, math, and computational finance
• Working knowledge of VBA
• Intermediate oral and written communication skills, demonstrating the ability to share and impart knowledge
• Ability to quickly adapt to new methods, work under tight deadlines and stressful conditions.
• Ability to set goals and handle multiple tasks, clients, and projects simultaneously; Ability to appropriately balance priorities, deadlines, and deliverables
• Ability to balance detail with departmental goals/objectives
• Advanced level of investigative, analytical and problem solving skills
• Ability to work independently
• Ability to work well within a team environment and participate in department/team projects

Company Overview

Discover Reinsurance - https://www.rgare.com/our-company/about-rga
Our history, purpose, partnership, reinsurance, RGA Central (client portal), industry recognition, and risk assessment.

Discover Your Purpose - https://www.rgare.com/careers/careers-overview
Join a community of people driven by the same purpose: to make financial protection accessible to all. What we do, work life worldwide, culture and purpose, diversity, equity and inclusion, career development, benefits, and balance, and becoming a candidate.

Discover RGA - https://www.rgare.com/
Reinsurance Group of America - Making financial protection accessible to all, solutions for every situation, RGA Knowledge Center, global insight locally delivered, our responsibility at RGA, newsroom, and policy and governance.

The general pay range for this position is $85,000 -$125,000 per year. Base pay varies depending on job-related knowledge, skills, experience, and market location. In addition, RGA provides an annual bonus plan that includes all roles, and some positions are eligible for participation in our long-term equity incentive plan. RGA maintains a full range of health, retirement, and other employee benefits.

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