Director - Quantitative & Hedging Strategy

2 days ago

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F&G

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Life Insurance • Annuities • Retirement Planning • Wealth Transfer

501 - 1000

Description

• The Director, Quantitative & Hedging Strategy is responsible for developing and maintaining advanced quantitative models to assess risk in the derivatives portfolio and supporting F&G’s derivatives trading activities. • Collaborate with the VP, Hedging Strategy, Director, Quantitative Analytics, Traders, and Quantitative Analysts to design and implement hedging strategies. • Manage the in-house derivative valuation system in collaboration with the Quantitative Analytics team and IT. • Support Risk Hedging leadership in defining the risk strategy for the derivatives portfolio. • Manage advanced valuation models, risk analytics, and decision-support tools for derivatives trading. • Lead macro trade strategy ideation designed to manage ALM, earnings, capital and market volatility. • Oversee systems and processes related to derivative portfolio analytics, focusing on complex instruments. • Direct initiatives to enhance system performance, ensuring the accuracy of derivative models and automating processes. • Conduct research to develop complex derivative pricing methodologies and implement pricing models. • Validate models using historical analysis and performance testing. • Support actuarial teams by delivering detailed analytics, such as option cost projections.

Requirements

• Bachelor’s degree in Computer Science, Finance, Economics, Statistics, Engineering, Mathematics, or a related field. Master’s degree in Mathematical Finance or similar preferred. • 8+ years of advanced programming experience, including VBA, MATLAB, Python, C#, or Java. Extensive experience with relational database systems (e.g., SQL Server, MS Access). • 8+ years of experience in derivatives modeling, risk analysis, and application development, with a focus on options, swaps, currency, bond forwards, swaptions, and other complex derivative instruments. • CFA/FRM/CQF designations preferred. • Life and annuity business experience required, with understanding of statutory (STAT) and GAAP accounting principles. • Thorough understanding of capital markets, mathematical finance, economics, and accounting principles. • Ability to learn the proprietary system and lead initiatives to enhance its architecture, scalability, and integration of new models across a wide range of derivative product types, including options, swaps, currency, bond forwards and swaptions. • Deep expertise in general account and liability hedging strategies, with the ability to balance both short- and long-term objectives while supporting risk management and profitability goals. • Advanced programming skills, capable of developing and refining sophisticated risk and valuation models. • Demonstrated expertise in derivatives math, portfolio risk measurement, and management techniques. • Strong life and annuity business acumen with the ability to propose and evaluate trade opportunities, particularly those that reduce hedging costs and align with broad macroeconomic trends. • Proven track record of designing proprietary valuation systems and leading efforts to enhance system architecture and scalability. • Excellent interpersonal, written, and oral communication skills. • Ability to work independently and efficiently prioritize tasks in a high-pressure environment. • Proficient knowledge of software used for investment analysis, portfolio management, and reporting such as Bloomberg, Aladdin, and MATLAB.

Benefits

• Ability for in-office, hybrid and remote work arrangements. • Reasonable accommodations for applicants and candidates with disabilities. • Join an employee-centric hybrid work environment.