Derivatives Portfolio Manager

Equitable Financial Life Insurance Company seeks a Derivatives Portfolio Manager for its New York, NY location.

Duties:
Support management of multi-asset derivatives portfolio (equity, rates, and credit) spanning from linear instruments (futures, total return swaps, interest rates swaps, CDS, etc.) to options (vanilla, digital, exotics), or variance swaps. Assist with execution of trading programs. Analyze and support mitigation of market risks associated with the variable annuity products, including GMxB (Guaranteed Minimum Benefits) or RILA (Registered Index-Linked Annuities).

Assist in reporting hedge P&L and effectiveness of the hedging programs to senior management. Conduct research and analysis on specific derivatives products, including pricing, risk factors and performance metric to manage derivatives strategy. Enhance operational processes to support trading, P&L reporting and attribution. Maximize effectiveness of hedging programs through changing markets. Work collaboratively with stakeholders from actuarial, finance, treasury, investments, risk management or legal to support ALM, liquidity and stress-testing.

Monitor and advise on evolutions of the derivatives markets and regulatory landscape.

Requires a Master’s degree in Financial Mathematics, Financial Engineering, Business Analytics or related quantitative field and 2 years of experience as Quantitative Analyst, Actuary or related position involving derivatives hedging and financial risk management in insurance industry.

• Valuation, pricing and reserve calculation for structured annuity and life products
• Development of pricing models and hedging platforms, including model calibration, simulation and optimization
• Asset-liability management for structured annuity and life products
• Knowledge of vanilla options, exotic options, Black Scholes models, Monte Carlo Simulations, Stochastic models (Heston), and market implied volatility structure
• Fixed income pricing/modeling and calculation/analysis of duration of bond
• Utilizing data structures and visualization, data processing and manipulation
• Object-oriented programming
• C++, Python, VBA, Perl Script and batch scripting for building calculation models, automation of recurring processes and refining existing pricing tools.

40 hours/week. Salary is $144,000 - $179,000.

Direct applicants only. Applicants send resume to T ( code CD01728) or search job title through .

EOE M/F/D/V.

UNITED STATES-NY-New York

Equitable

Full-time