AVP, Investment Analytics

Overview

Fortitude Reinsurance Company Ltd. (Fortitude Re) is one of the world’s leading providers of legacy reinsurance solutions. They work with the world’s leading insurance companies to help them execute comprehensive, transformational solutions for legacy Life & Annuity and P&C lines. Fortitude Re manages a general account of approximately $111 billion across life, annuity, and property & casualty insurance products. The company takes a long-term view on growth and is backed by a consortium of sophisticated institutional investors led by The Carlyle Group and T&D Insurance Group.

Incorporated under the laws of Bermuda on January 1, 2017, Fortitude Re’s leadership has extensive industry tenure and a track record of managing complex legacy liabilities. Fortitude Re uses deep insurance experience and proprietary risk modeling capabilities to structure bespoke transactions that benefit both insurance companies and policyholders.

The AVP, Investment Analytics is responsible for developing and maintaining modeling to support Fortitude Re’s investment plan, based on its strategic asset allocation, asset modeling, and ALM framework. This role supports the pricing and due diligence of new business acquisitions and delivers analytics and critical assumptions to enable ALM, liability valuation, and regulatory reporting post-acquisition. It ensures the delivery of analytics and critical assumptions that enable ALM, liability valuation, and regulatory reporting post-acquisition meet data quality standards.

• Develop, maintain and run various models, such as Factset, Aladdin, and other proprietary asset models.
• Develop analytics to monitor ALM strategy performance and risk and scale hedging/portfolio rebalancing workflow; standardize communication to Executive Committee, the Board of Directors, regulators, and other key stakeholders.
• Develop analytics to scale portfolio relative value and tactically asset allocation analysis.
• Develop analytics to support investment strategy, including standardizing and scaling new business pricing.
• Develop processes to standardize data feed into ALM analytics and validate data quality, coordinate discussion with data vendors, asset managers, and internal team.
• Develop model-driven investment processes for regular new business cash flows.
• Develop APIs to provide key ALM data to capital management, pricing, and in-force management teams.
• Deliver capabilities needed for portfolio managers to implement asset/liability management and asset allocation strategies on a daily basis.
• Ensure that the modeling processes are robust, efficient, and scalable, and that they adhere to the financial controls and best practices of the organization.
• Perform quantitative research on private credit transaction data and develop liquidity premium risk and return models.
• Build and maintain structured product models spanning public and private securities (e.g., ABF, CLOs, rated funds, RMBS, CMBS).
• Research: stay abreast of the latest developments and trends in the fixed income market and incorporate them into the models as appropriate.
• Collaboration:
  
  work with the actuarial and accounting teams to ensure that the models comply with the regulatory requirements and standards of the insurance industry.

• Bachelor's degree
• CFA or FSA preferred
• 7+ years of experience in investments analytics, portfolio management, or other investments function
• Strong analytical capabilities
• Knowledge of fixed income models as they relate to analytics and cashflows
• Highly proficient in SQL, R, Python, or other programming languages
• Knowledge of Bloomberg and advanced Excel skills is required
• Proficiency using leading software vendors for financial data and fixed income modeling, including Bloomberg, Factset, Aladdin, Intex, Trepp, and others
• Experience working at a (re) insurer is a plus
• Prior experience with private credit, structured credit, esoteric asset classes, and whole loans is a plus
• Proven expertise in building processes to clean, validate, and analyze large data sets
• Very strong written, verbal and interpersonal communications skills to clearly articulate sophisticated concepts, ideas and processes
• Pr…