Assistant Vice President, Quantitative Developer

Jersey City, NJ, USA Req #486
Monday, October 31, 2022

Fortitude Re is a liability-led reinsurer of legacy insurance portfolios complemented by sophisticated investment capabilities. In 2016, AIG created a “Legacy” portfolio as a separate non-core segment representing insurance reserves associated with discontinued lines of commercial Property & Casualty and Life & Annuity insurance businesses. The following year, AIG formed a Bermuda-domiciled composite reinsurer, now Fortitude Re, to house the Legacy portfolio in a separate, distinct, well-capitalized balance sheet with a dedicated management team. In 2018, the company entered into a series of L&A and P&C reinsurance transactions with AIG and received an initial capitalization of ~$3 BN. The transactions represented ~$37 BN of reserves supported by ~$40 BN of invested assets. During this time, AIG also entered into a long-term partnership with The Carlyle Group, with Carlyle acquiring 19.9 % ownership. Then in 2019, The Carlyle Group and T&D announced acquisition of majority interest in Fortitude Re from AIG. This allowed for a new long-term shareholder base for the company while maintaining a strong capital position for supporting reinsurance obligations. Click here for more information about Fortitude Re.

Position Logistics

 

Location:                                  Jersey City, NJ

Travel:                                      0% to 15%

Experience:                              8+ years of capital markets experience, ideally with derivatives and/or risk management / hedging focus

 

Reporting Relationships and Organizational Scope

This role will report to the Variable Life/Annuity Strategy Head (Vice President) and will be responsible for providing quantitative support to the Strategy function and hedge program, to optimize the performance of the FLIAC VA block.  This role will be part of the Investments organization.

 

Role and Responsibilities

  • Collaborate on design, development and maintenance of  in-house trading and risk analytics applications/tools supporting derivatives trading and portfolio management.
  • Provide research of valuation methodologies and models for derivatives and/or financial instruments.
  • Build and implement valuation models with in-depth understanding of parameters and limitations.
  • Develop back-testing tools incorporating data science methodologies to validate strategies
  • Create tools necessary to analyze strategic hedging, investment and business decisions.
  • Perform research, ad-hoc analysis and reporting as needed.
  • Collaborate with IT and third party vendors in order to deliver solutions to complex problems regarding the trading lifecycle.

 

Candidate Profile

 

Fortitude Re is seeking a strong, high-energy individual with the desire to build and support a world-class VA platform as part of the Investments team.

 

The ideal candidate will have significant quantitative development skills and financial product knowledge. Some familiarity with VA products is a plus. The candidate must have excellent communication skills and the ability to interact with management and business partners effectively.

 

Education

 

A degree in a technical/quantitative discipline, such as finance, economics, engineering, computer science, mathematics, statistics or physics is required. Advanced degree strongly preferred.

 

Experience and Qualifications

  • 8+ years of quantitative roles in the capital markets space.
  • Working knowledge of various derivative types, fixed income products and variable annuity products features with embedded optionality
  • Experience with financial asset and derivatives modeling, programming and valuation including stochastic modeling methods and market models
  • Proficiency in programming languages and platforms particularly Python as well as SQL, Excel VBA, MATLAB, C++ etc.
  • Knowledge of systems design and development principles as well as database design, optimization and technologies
  • Knowledge of Data Analysis utilizing either Python or R

 

Personal Characteristics

  • Entrepreneurial with a desire to work in a ‘start-up’ environments
  • Desire to deliver a complete work product
  • Strong oral and written communication skills
  • Highly motivated and results-oriented
  • Strong analytical skills
  • Ability to work independently
It has been and will continue to be the policy of Fortitude Group Holdings, LLC, its subsidiaries and affiliates to be an Equal Opportunity Employer. We provide equal opportunity to all qualified individuals regardless of race, color, religion, age, gender, gender expression, national origin, veteran status, disability, or any other legally protected categories. 
                                                                                                                                                 
At Fortitude Re, we believe that diversity and inclusion are critical to our future and our mission- creating a foundation for a creative workplace that leads to innovation, growth, and profitability. Through a wide variety of programs and initiatives, we invest in each employee, seeking to ensure that our people are not only respected as individuals, but also truly valued for their unique perspectives.

Other details

  • Job Family IN - Investment
  • Job Function AVP
  • Pay Type Salary
Location on Google Maps
  • Jersey City, NJ, USA