Senior Financial Risk Analyst, EP&FP

You desire impactful work.

You’re RGA ready

RGA is a purpose-driven organization working to solve today’s challenges through innovation and collaboration. A Fortune 500 Company and listed among its World’s Most Admired Companies, we’re the only global reinsurance company to focus primarily on life- and health-related solutions. Join our multinational team of intelligent, motivated, and collaborative people, and help us make financial protection accessible to all.

Overview

The Senior Financial Risk Analyst in RGA’s Enterprise Pricing & Financial Products’ team will

• Carry out economic scenario generation, hedging, derivatives pricing and other capital markets related analyses, as well as research of theoretical developments related to the above.
• Assist in applying the findings to efficient hedging implementation and enhanced pricing support.
• Assume responsibility for set-up and maintenance of all necessary databases and tools, including scientific software configuration and source code file management.
  
  

Key Responsibilities

• Performs economic scenario generation activities using both frequentists and Bayesian MCMC techniques including optimization and debugging of Matlab and VBA code, re-evaluation of generator(s) parameters, tuning of generator input assumptions with minimal oversight, and analysis of comparative ESG techniques.
• Provides quantitative analysis for hedging via computing model-dependent Greek in continuous-time models and other capital markets related pricing activities with only minimal oversight.
• In the context of multifactor correlated Hull-White model, LMM, Heston Stochastic Volatility, Intensity and Structural credit models perform Risk Neutral Scenario Generation and Monte Carlo simulations-based pricing of exotic derivatives using variance reduction techniques.
• Ensures economic databases are kept up-to-date in support of department work, including ongoing reviews of source validation and comparative consistency.
• Participates in key unit and ad-hoc department projects as needed.
  
  

Required Qualifications

• Master’s degree in Arts/Sciences (MA/MS) in Math, Finance, Economics with coursework in derivatives pricing, asset pricing, and other quantitative investment analyses OR Bachelor’s degree in Math or Economics and equivalent relevant experience
• Master’s degree in Arts/Sciences (MA/MS) in Financial Engineering or Ph.D. in a sufficiently quantitative field is preferred
• 5 or more years of experience coding generators in MatLab based on papers/articles from recent industry-leading journals
• 3 or more years of technically-focused capital markets experience
• Basic Word, Advanced Excel and database applications (e.g., Access, Oracle, SQL or equivalent technology) and either statistical programs (ex. SAS, Matlab, Gauss) or a computing language (C/C++)
• Demonstrated advanced optimization and debugging of Matlab and VBA code
• Working knowledge of Hull-White model, LMM, Heston, Stochastic Volatility, and Intensity credit models are required
• Experience with Bloomberg API
• Expertise in computational finance, statistics
• Advanced background in econometrics, statistics, math, and computational finance
• Working knowledge of VBA
• Intermediate oral and written communication skills, demonstrating the ability to share and impart knowledge
• Ability to quickly adapt to new methods, work under tight deadlines and stressful conditions
• Ability to quickly adapt to new methods, work under tight deadlines and stressful conditions
• CFA Level II or FRM accreditation (for non-PHD applicants) would be considered ideal assets
• FM Actuarial Exam would be a “nice-to-have”
• 5 years experience with quantitative financial analysis is preferred
  
  

What you can expect from RGA

• Gain valuable knowledge from and experience with diverse, caring colleagues around the world.
• Enjoy a respectful, welcoming environment that fosters individuality and encourages pioneering thought.
• Join the bright and creative minds of RGA, and experience vast, endless career potential.
  
  

Compensation Range

$87,050.00 - $131,450.00 Annual

Base pay varies depending on job-related knowledge, skills, experience and market location. In addition, RGA provides an annual bonus plan that includes all roles and some positions are eligible for participation in our long-term equity incentive plan. RGA also maintains a full range of health, retirement, and other employee benefits.

RGA is an equal opportunity employer. Qualified applicants will be considered without regard to race, color, age, gender identity or expression, sex, disability, veteran status, religion, national origin, or any other characteristic protected by applicable equal employment opportunity laws.