Location: 

New York, NY, US

 

Quantitative Analyst - Swiss Re Management (US) Corporation - New York, NY 


About Swiss Re

The Swiss Re Group is one of the world’s leading providers of reinsurance, insurance and other forms of insurance-based risk transfer, working to make the world more resilient. It anticipates and manages risk – from natural catastrophes to climate change, from ageing populations to cybercrime. The aim of the Swiss Re Group is to enable society to thrive and progress, creating new opportunities and solutions for its clients. Headquartered in Zurich, Switzerland, where it was founded in 1863, the Swiss Re Group operates through a network of around 80 offices globally. It is organised into three Business Units, each with a distinct strategy and set of objectives contributing to the Group’s overall mission.

 

Position Duties:

Develop, enhance and maintain stochastic models for valuation and pricing of Variable Annuity (VA) riders and their financial market exposures, under both Economic Value Management and US Generally Accepted Accounting Principles (GAAP) frameworks. Compute VA risk exposures to Swiss Re, both biometric and financial markets. Analyze experience and set assumptions for biometric risks. Calculate reserves and capital for both US and Swiss regulatory regimes. Monitor and investigate daily profit & loss attributions of the VA portfolio. Oversee weekly and monthly US GAAP, Credit Value Adjustment (CVA), and Debit Value Adjustment (DVA) calculations for the VA portfolio. Perform regular ad-hoc investigations into existing processes and data. Collaborate with the portfolio management team to continually improve abilities to hedge, risk manage, and stress-test the financial markets and biometric exposures of the VA portfolio. Maintain the pricing framework for VA reinsurance transactions. Analyze and model other bespoke transactions with financial guarantees. Perform on-the-fly analysis of product features, policyholder interaction and trend. Collaborate and consult with other quantitative groups in Asset management and across the wider Swiss Re group. Use and extend the existing modeling infrastructure and analysis tools to solve complex problems. Develop other models within the Financial markets analytics library.

 

Degree Requirements:

Bachelor’s degree or foreign equivalent in Mathematics, Statistics, Engineering, Physics, or related field

 

Experience Requirements:

5 years of progressively responsible post-baccalaureate work experience in the job offered or related occupation

 

Other Special Requirements:

Actuarial pricing of biometric and financial risks; actuarial valuation of biometric and financial risks; Longevity risk modelling; Experience Analysis in life, longevity and savings insurance contracts; economic value management and risk-neutral framework; US GAAP rules for life insurance and financial guarantees; Monte Carlo valuation of financial guarantees; financial markets structured products scripting; Swiss regulatory framework for life insurance; Solvency II European regulatory framework for life insurance; and Fellow of the Society of Actuaries (FSA) designation, or equivalent non-US actuarial designation

 

Location of Position:

Swiss Re Management (US) Corporation

1301 Avenue of the Americas

New York, NY 10019

 

Applicants should submit resumes online or by mailing to:

ATTN: HR

Swiss Re Management (US) Corporation

1200 Main Street, Suite 800

Kansas City, MO 64105

 

 


Keywords:  
Reference Code: 85919 

 

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