Avp, Quantitative Risk Analyst Job at Aflac (New York City)

Job Responsibility

Works with GIRM team members to advance the development of the company’s risk analysis system
in particular, leads the technical development and/or maintenance of the investment risk system production environment (in Python/C#), including but not limited to risk simulation tool, regulatory capital ratio methods, extreme tail event stress testing and economic scenario generator (ESG)
Leads efforts to automate the data flow, calculation and production of regular investment risk reports for senior management and business partners
Provides quantitative support and business insight to senior management for different investment and risk management decisions, through analyses of financial impacts due to exposures in market risk, credit risk etc
Works closely with front office teams for different types of asset classes portfolio monitoring, including credit, derivatives and alternative assets and performs relevant risk analysis
Collaborates with GIRM team members to perform second line comprehensive risk analyses across investment risks to ensure compliance with the firm’s risk appetites, tolerances, and investment risk limits
Works closely with the Quantitative Analytic Solutions team to validate and calibrate models to support implementation
Provides documentation and validation of models and calibration techniques
Collaborates with GIRM’s technologists to ensure models are efficient and robust as deployed into production
Provides support for market and credit risk analysis
Participates in the production and presentation of oral and written analyses and concepts, including management recommendations, to senior management
assists in the preparation of management and committee reports

Requirements

Knowledge of statistics and its application to the financial services industry
Familiarity with life insurance company financial statements preferred
Strong analytical and critical thinking skills
Strong verbal and written communication skills
Highly organized with the ability to work on multiple projects with different deadlines
Team player
Bachelor's degree in Financial Engineering, Mathematical Finance, Mathematics or a related major
5+ years of relevant work experience in financial services risk management (preferably life insurance), either in industry, or as a consultant
Strong model development experience in programming languages such as C#, Python, and VBA required
Or an equivalent combination of education and experience

Nice to have

Master's degree in Financial Engineering, Mathematical Finance, Mathematics or a related major
Certification in CFA, FRM, Actuarial credentials or similar investment risk management credentials preferred
Experience modeling public and private fixed income asset classes, public and private equity, derivatives and alternatives is preferred
Life insurance actuarial modeling and implementation experience is preferred

What we offer

Medical, dental, and vision coverage
Prescription drug coverage
Health care flexible spending
Dependent care flexible spending
Aflac supplemental policies (Accident, Cancer, Critical Illness and Hospital Indemnity offered at no costs to employee)
401(k) plans
Annual bonuses
Opportunity to purchase company stock
11 paid holidays annually
Up to 20 days PTO to be used for any reason
State-mandated sick leave (if eligible)

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Avp, Quantitative Risk Analyst

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