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Senior Quantitative Risk Manager

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Selby Jennings QRF

2021-12-04 06:30:03

Job location Los Angeles, California, United States

Job type: fulltime

Job industry: Banking & Financial Services

Job description

An industry-leading Asset Management Firm is looking to hire a Quantitative Risk Manager to work within their Risk Management and Quantitative Solutions team based in Los Angeles, CA. This team has a broad range of responsibilities, including asset allocation, asset-liability matching, liability-driven investing, portfolio construction and optimization, tail risk hedging, and portfolio analytics.

The team you will be joining works closely with the Client Service and Investment Management teams to provide investment insights and craft bespoke portfolio solutions. The portfolios/clients you will be covering focus heavily on insurance and pensions, so a deep understanding of liabilities of insurers and pensions and how to value them, is highly desired for this specific position.

Responsibilities:

  • Analyze the risk characteristics of the insurance business, including supporting the portfolio construction process to match assets and liabilities
  • Support the construction of capital efficient portfolios under different insurance regulatory regimes
  • Manage the investment risk of insurance and LDI portfolios, and conduct client presentations representing the risk division
  • Help construct portfolios that support liabilities over time
  • Develop asset allocation studies for Client Service
  • Conduct portfolio optimizations to maximize risk adjusted returns
  • Develop analysis of hedging strategies to mitigate different types of risks, including tail risks
  • Conduct periodic risk reviews of client portfolios
  • Work closely with modeling and analytics groups to provide insights to the investment management function

Qualifications:

  • Advanced degree in a quantitative field
  • Strong verbal and written communication skills
  • Expert knowledge of fixed income, knowledge of insurance products is a plus but not required
  • Familiarity with third party analytics including Bloomberg or Aladdin
  • Programming experience in Python or R

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