Variable Annuity PM & Quant Strategist – Philadelphia, PA
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Location:
Hire:
IJC Reference:
Top-tier Fortune 500 financial company
Philadelphia, PA
Variable Annuity PM & Quant Strategist (several hires)
#15016 (Please indicate this reference in any communication)
Our Client
With 10,000 employees and many offices, our client is a top-tier long-established US financial
institution, offering asset management, insurance, as well as advisory services.
The company has seen a consistent growth in its Variable Annuity business. It is adding several
headcounts, as well as infrastructure resources to facilitate the growth of this core activity.
The Role
Variable Annuities are long-dated hybrid derivatives, which have mutual funds for underlying
assets and for which no perfect hedge exists.
To improve their risk management, as well as the firm’s margin, the Strategy and Modeling
Team and the Derivatives Trading Team are joining together to build a new risk management
infrastructure. Due to the nature of instrument, this system will combine both portfolio
construction theory aspects (factor models, Barra, Factset …) and derivatives risk management
(Index options & variance swaps, interest rate options, forwards…).
The teams are looking for several key individuals, showing skills in both these fields and the
experience and maturity to trade and risk-manage a significant derivatives book. One individual
is needed urgently.
The responsibilities will be dual:
1. Manage the VA derivatives book:
o Trade: hedge, monitor risks, attribute PLs, solve operational issues…
o help the Pricing & Product Team sell new products to customers,
o liaise with ALM to monitor capital and regulatory requirements, and
o report to the firm’s senior management.
2. Drive the research on the hedging methodology, which encompasses:
o Portfolio construction: optimize proxy hedges to match the underlying baskets, using
factor model techniques.
o Derivatives risks: delta, rho, vega & skew, epsilon, correlation, credit risk,
policyholder behavior risk….
o Transaction cost analysis (TCA) and its reduction,
o Leverage or improve the exotic libraries, the back-testing / Monte-Carlo
infrastructure,
o Simulate, develop, implement and improve new hedging strategies.
The Successful Candidate
The successful candidate will possess:
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A scientific background: BS in engineering, physics, mathematics, statistics, actuarial
sciences. Strong grades a requirement. Ivy league schools strongly preferred. Graduate
degrees (Master, PhD) strongly preferred.
3/5 years of experience in volatility trading, preferably exotics, required.
3/5 years of portfolio construction experience, strongly preferred.
Solid knowledge of linear algebra and optimization techniques.
Expert knowledge of Matlab, R, SQL and of usual languages like vba, C++…
The ability to read and understand academic research, professional journals,
governmental regulations…
Excellent relationship skills with both internal clients and colleagues. Perfect English a
requirement.
Result-oriented but enthusiastic, in line with the team’s efficient but collegial spirit.
Valid US work permit / citizenship.
The offer
The successful candidate will be trusted with the ownership of the activity. He will be a decisionmaker, with the responsibility for and the capacity to impact profits.
The firm ‘s meritocratic and anti-bureaucratic culture invites its key employees to step out of
their comfort zones, in exchange for their career growth.
The company is offering a competitive compensation with base and bonus, a relocation
package if needed, as well as full benefits.
To apply to this role or obtain further information, please contact Gontran de Quillacq, Managing Director, Head of
Quantitative & Risk Practice, IJC Partners. W: +1 (646) 710-3457, Gontran@IJCPartners.com, or
www.linkedin.com/in/gdequillacq/