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Quantitative Risk Analyst - Market/Credit Risk

The Company:  Aflac Asset Mgt. LLC
The Location: 

New York City, NY, US, 10005

The Division:  Global Investment
Job Id:  2505

ABOUT OUR COMPANY

Aflac Global Investments located in New York’s financial district, is the organization responsible for the overall investment activities of Aflac, Inc. With more than 100 employees in the US (New York) and Japan (Tokyo), Aflac’s Global Investments organization seeks to maximize Aflac’s risk-adjusted returns, subject to our liability profile and capital requirements, and generates in excess of $3.0 billion a year in net investment income. As of December 31, 2020, Aflac assets were $149.8 billion with revenues totaling $22.3 billion. 

 

POSITION SUMMARY

Working as a member of Aflac Global Investments (GI) and the Global Investments Risk Management (GIRM) team, participate in the delivery of second line risk management and associated analytics for investment and investment related activities in Aflac’s subsidiary, Aflac Asset Management LLC (AAMLLC).  Collaborate on the development, implementation and validation of the division’s investment risk and capital models.  Support the enhancement of the investment risk framework to ensure robust identification, assessment, measurement and monitoring of key risks.  Title: Assistant Vice President, Quantitative Investment Risk - Market and Credit Risk

 

KEY RELATIONSHIPS

Reports to:              Chief Risk Officer – Aflac Global Investments Risk Management    

Relationships:                         Primary Support:    GIRM team members, Quantitative Analytic Solutions team, GI information technology, GI business leaders and staff, ERM, business partners including accounting, tax, legal, actuarial, treasury      

 

OVERALL RESPONSIBILITIES

  • Collaborate with GIRM teams members to perform second line comprehensive risk analyses across investment risks to ensure compliance with the firm’s risk appetites, tolerances and investment risk limits
  • Work closely with Quantitative Analytic Solutions team to validate and calibrate models to support implementation
  • Provide documentation and validation of models and calibration techniques
  • Collaborate with GIRM’s technologists to ensure models are efficient and robust as deployed into production
  • Provide support for Market and Credit risk analysis
  • Participate in the production and presentation of oral and written analyses and concepts, including management recommendations, to senior management

 

CANDIDATE QUALIFICATIONS

  • 7+ years of relevant work experience in financial services risk management (preferably life insurance), either in industry, or as a consultant
  • Master’s Degree in Financial Engineering, Mathematical Finance or Mathematics or a related major is desirable
  • CFA, FRM, Actuarial credentials or similar investment risk management credentials a plus
  • Strong model development experience in programming languages such as C#, Python, and VBA is a must
  • Experience modeling public and private fixed income asset classes, public and private equity, derivatives and alternatives is desirable
  • Knowledge of statistics and its application to the financial services industry
  • Life insurance actuarial modeling and implementation experience is a plus, as is familiarity with life insurance company financial statements
  • Strong analytical and critical thinking skills is a must
  • Strong verbal and written communication skills
  • Highly organized with the ability to work on multiple projects with different deadlines
  • Team player

We will consider for employment all qualified applicants, including those with a criminal history, in a manner consistent with the requirements of all applicable federal, state, and local laws, including the Los Angeles Fair Chance Initiative for Hiring Ordinance, the San Francisco Fair Chance Ordinance, and the New York City Fair Chance Act. Applicants with criminal histories are encouraged to apply.


Nearest Major Market: Manhattan
Nearest Secondary Market: New York City