Senior Quant Analyst - Derivatives - Insurance

Role :

- The individual will be responsible for developing and maintaining quantitative models to assess hedging requirements, developing new insurance product strategies using derivative instruments, optimising the company's asset-liability management (ALM) position.

- The individual should have a minimum of 4-6 years of working experience in either of quantitative research, product structuring using derivatives, risk management solutions and should possess a strong analytical mind-set. Knowledge & understanding of insurance liabilities is an added advantage.

Duties and Responsibilities

- Assessment of different derivative products for the purpose of hedging interest rate and other risks

- Maximising returns under the company's fixed income book, subject to meeting liability related constraints in terms of cashflow matching, duration hedging etc

- Developing investment strategies to optimise equity investments in the portfolio, subject to meeting guarantees

- Developing strategies which involves replicating equity option pay-off, including, but not limited to Option based portfolio insurance strategies (OBPI), CPPI, etc

- Optimise company's ALM position.

- Assess the solvency and capital impact of various strategies.

- Measuring & quantifying the risks involved in different strategies in terms of VaR & other risk measures.

- Developing tools for testing effectiveness of hedging & other strategies

- Monthly management reporting on performance of various strategies

- Perform ad hoc analysis as needed, i.e., spreadsheet and database reports.

- Ensuring compliance with the Regulatory guidelines, as relevant, e.g. 2014 Interest Rate Derivatives guidelines, etc. and other filings

- Maintain adequate documentation of processes and results

- Guide and mentor junior staff including Actuarial Associates and Junior Quant Analysts

Experience and Education Requirements

- Well-versed with structuring of product/risk management solutions using fixed income & equity derivatives

- Working knowledge of ESG models

- Good understanding of finance, mathematical finance, economics, accounting, investment, and insurance principles and practices.

- Bachelor- s/Masters in Computer Science/Statistics/Engineering preferably from from Tier 1 colleges

- Ph.D or M.S degree from a leading university in a quantitative or highly analytical field (eg Computer Science, Mathematics, Financial Engineering)

- Demonstrated ability to program in Python, R, C, C++

- MBA from IIM A/B/C/L may also apply

- CFA/FRM/CQF preferred, but not required