Quantitative Derivative Strategist

2 weeks ago

Gurugram, India EXL Full time

Role Overview:

Sr. Quantitative Derivatives Associate, Quantitative Risk Modeling - Market Risk Management


· An opportunity to join the Quantitative Risk Modeling team within Market Risk Management (MRM), that is responsible for the model development, implementation, and analysis within the annuity hedge programs.

· The Senior Quantitative Derivatives Associate will be involved in developing and maintaining stochastic, analytical, and machine learning models that combine capital market, actuarial, and quantitative finance disciplines to produce data and analytics that support hedging, pricing and valuation for the annuity business.

· The role will connect the work of this team to other business areas to help various firm wide initiatives including launching new products, understanding/incorporating regulatory changes, and developing new hedging strategies.

· The candidate is expected to perform and deliver on assignments to mitigate market risk by identifying and reporting on key risks for both variable and indexed annuities.


Key Responsibilities:

· Performs operational processes for variable annuities, including stochastic projections for future liability greeks calculation and hedging assets/liabilities rebalancing.

· Maintains and updates first principles reference models for variable annuities cashflows calculation.

· Performs stochastic and deterministic economic scenarios generation for

various internal assets/liabilities projections

· Develops and implements improvements to MRM’s risk models, workflows, and systems.

· Supports implementation process of existing and new VA/RILA product designs and features.

· Performs ad hoc analyses.

· Critical Thinking

· Complete understanding of the current situation and problem statement

· Interacting with clients on regular basis, understanding their requirements and transforming that into business framework and providing solutions

· Excellent written and verbal communication skills

· Uses logic and reasoning to identify strengths and weaknesses of alternative solutions, conclusions or approaches to resolve issues.


Candidate Profile:

Must-haves:

· 4 Year/Bachelor's degree or equivalent work experience (4 years of experience in lieu of Bachelor's) in Statistics, Mathematics, Hard Science/engineering or Actuarial Science is required.

· Proficiency in a common programming language: Python, R, Java, C#, VB, C++.

· 0-2 years of increasing experience in variable annuity market risk management or related field. Knowledge of capital markets and insurance products including but not limited to annuities.

· Strong analytical, diagnostic and organization skills, ability to communicate to a wide range of technical and non-technical audiences.


Nice-to-haves:

· Masters level or Advanced degree preferred but not required.

· Working knowledge of capital markets instruments, derivatives models, and valuation techniques.

· Strong written and verbal communication skills.

· Proficiency with Excel / VBA

· Experience working with data and interfacing with databases, either SQL or No-SQL

· Ability to read C++/C.

· Ability to handle multiple priorities and adapt to changing priorities as needed.

· Ability to perform in a fast-paced work environment.

· Experience of working in international markets such as US

· Strong ability to learn technical and business knowledge

· Superior analytical and problem solving skills

· Outstanding written and verbal communication skills

· Able to work in fast pace continuously evolving environment and ready to take up uphill challenges

· Is able to understand cross cultural differences and can work with clients across the globe



What we offer:

· EXL Analytics offers an exciting, fast paced and innovative environment, which brings together a group of sharp and entrepreneurial professionals who are eager to influence business decisions. From your very first day, you get an opportunity to work closely with highly experienced, world class analytics consultants.

· You can expect to learn many aspects of businesses that our clients engage in.

You will also learn effective teamwork and time-management skills - key aspects for personal and professional growth

· Analytics requires different skill sets at different levels within the organization. At EXL Analytics, we invest heavily in training you in all aspects of analytics as well as in leading analytical tools and techniques.

· We provide guidance/ coaching to every employee through our mentoring program wherein every junior level employee is assigned a senior level professional as advisors.

· Sky is the limit for our team members. The unique experiences gathered at EXL Analytics sets the stage for further growth and development in our company and beyond.


"EOE/Minorities/Females/Vets/Disabilities"

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