Director VA Hedging Research & Development
Date Posted [Nov-03-09] (ID: 98796)
Position: Director VA Hedging Research & Development Company: Insurance Organization Location: Ontario Job ID: 17513 RESPONSIBILITIES: - Design, document, implement, maintain and improve specific components (specific geographies, product areas, more complex hedges etc.) of the hedging program. - Initiate and develop proposals for new hedging strategies, backed with detailed due diligence work. - Compare and contrast alternative strategies, through extensive modeling and simulation work which will expose potential risks in the various strategies and help determine the overall effectiveness of the hedging strategy considered. - Act as subject matter expert on capital market risks systems (equities, commodities, FX, credit and/or fixed income). - Identify opportunities for improvement and lead the research and development of business specifications for VA Hedge program reporting and operations to meet business needs. - This takes a sound knowledge of the instruments being reviewed (e.g. equity derivatives and futures, interest rate derivatives and futures, mortgage related products, credit index products) in order to effectively produce the required analysis for the business specifications. - Identify, through extensive analysis of current VAH program, the need for new models, tools and metrics for evaluating hedging strategies (for example, developing in house custom Excel .xla or .xll functions). - Being able to produce these models, tools, & metrics efficiently helps to determine the relative merits of the hedging strategy and highlights areas which may not result in the desired effect. - Will work closely with business, accounting, risk management and regulators to ensure the needed information has been supplied and clearly communicated, and any questions from the various stakeholders of the hedging activity have been properly addressed and answered. - Provide leadership to junior department staff. QUALIFICATIONS: - Minimum 5 years relevant experience in either an applied mathematical finance or actuarial role, including experience with market risk measurement systems and a wide variety of capital market products. - Experience with equity derivatives (including options) specifically is an asset. - Detailed experience in modeling of financial derivatives both linear and non-linear products. - Have a good knowledge of finance and contingent claim theory, including practical aspects such as market conventions, specific product knowledge, and best practices of quantitative modeling in industry. - A demonstrated quantitative aptitude, at the minimum level consistent with undergraduate mathematics/actuarial science/science, is required. - A demonstrated business acumen, and orientation towards solving real world problems. - Must have a strong educational background in at least one of econometrics, mathematics, and actuarial science. - Must have excellent communication and documentation skills, and specifically the ability to communicate complex information and results in an effective manner. - Demonstrates the ability to summarize and take or recommend action, providing details as needed. - Demonstrates the ability to guide and influence management decisions effectively. - Should have Programming Experience in at least one of VBA, SQL, EXCEL, ACCESS, MATLAB+ODBC, scripting tools, including a understanding and application of basic professional coding practices, version control, and documentation standards. - Demonstrates leadership and mentoring skills.
| For more information, please visit http://www.nasearchg.com/. |
