Associate Director

  • 38327
  • Life - Investments
  • |
  • Ontario, Canada
  • |
  • Oct 6, 2020
  • Lead the Hedge Reporting and P&L Analysis Services for company’s clients.
  • Play a key role in developing and implementing innovative hedging and asset management strategies to effectively manage complex exposures that combine Actuarial, Financial, and Capital Market risks.
  • Develop, maintain, and document sophisticated financial asset and liability models to support various investment management and risk management projects.
  • Participate in quantitative research projects that support investment decision processes, utilizing quantitative skills, such as time series regressions, optimization, Monte Carlo simulation, and data visualization techniques.
  • Develop and maintain Economic Scenario Generators used in the valuation of financial assets and insurance liabilities.
  • Further the development of robust processes for hedging, strategic asset allocation, scenario generator calibration and insurance company financial reporting.
  • Provide analytical support to portfolio managers, traders, and risk managers on the risk, return and transaction cost/market impact of investment portfolios and strategies.
  • Excellent analytical and problem solving skills.
  • 8+ years of experience as a quantitative analyst in an investment management/risk management/hedging/model vetting role.
  • Master’s degree in a quantitative discipline, PhD a plus.
  • Expert knowledge of financial assets including derivatives and their valuation models.
  • Expert knowledge of stochastic interest rate and equity models.
  • Knowledge of statistics, finance and economics.
  • Experience with P&L analysis and performance attribution a plus.
  • Experience with Variable Annuities/Segregated Funds, Fixed Indexed Annuities and Equity Indexed Annuities a plus.
  • Excellent numerical technique skills in PDE, optimization, time series analysis and Monte-Carlo simulation.
  • Excellent programming skills in Python and MATLAB.
  • Excellent communication skills for heavy team and client interactions.
  • Ability to work well in a fast-paced environment with changing priorities.
  • Experience working with financial software packages such as Numerix, FinCAD a plus.