• 38295
  • Life - Investments
  • |
  • Ontario, Canada
  • |
  • Sep 30, 2020
  • Analyze proposals for new hedging strategies, completing due diligence work.
  • Conduct research to compare alternative strategies to determine the overall effectiveness of a hedging strategy.
  • Analyze large data sets and conduct statistical analysis using R/Python/C/C++.
  • Provide, or research to acquire, subject matter expertise on specific segments of capital markets. Particularly product details, and valuation and risk measurement methodology of the following products: IR swaps, equity futures, bond futures, FX futures, total return swaps, OTC options, exchange traded options, IR Swaptions.
  • Develop new tools and metrics using Excel/VBA/Matlab/etc. to evaluate hedging strategies.
  • Provide specifications to development teams and assist with interpretation from a capital markets perspective, to ensure the implementation meets business needs.
  • Complete updates to production model parameters maintained by Global Variable Annuity Hedging, specifically fund mapping decomposition of target indices into tradable instruments.
  • A demonstrated quantitative aptitude, at the minimum level consistent with undergraduate mathematics/actuarial science/science, is required.
  • Have a good theoretical knowledge of finance and derivatives, preferably together with practical knowledge including market conventions, specific product knowledge, and best practices of quantitative modeling in industry.
  • Should have experience using VBA, SQL, EXCEL, ACCESS, MATLAB+ODBC, scripting tools, including an understanding and application of basic professional coding practices, version control, and documentation standards.
  • Proficient in at least one of R/Python/C/C++ with experience analyzing large data sets.
  • A demonstrated business acumen and orientation towards solving real world problems.
  • Demonstrated understanding of the difference between communicating to a business audience, compared with an academic or technical audience.
  • The ability to communicate complex information and results in an effective manner.
  • The ability to summarize and take or recommend action, providing details as needed.
  • A strong educational background in at least one of finance, mathematics, or actuarial science.
  • FRM or CFA designation an asset.