eFinancialCareers

• Company

  Ashton Lane Group, Inc

• Location

  Philadelphia, PA, 19019

• Compensation

  Excellent Base & Bonus

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  23 Nov 2009

• eFC Ref no

  575505

Responsibilities:

• Provide comprehensive analytical support for the development and implementation of innovative hedging strategies to effectively mitigate complex Business Unit exposures that combine actuarial, financial and capital market risks.

• Maintain and enhance existing hedging programs to constantly improve performance and effectively meet evolving business unit demands.

• Develop, maintain, and document sophisticated financial models to support various hedging projects.

• Develop, generate and document management reports that quantify key hedge program performance metrics and risk exposures to ensure robust feedback and control.

• Develop quantitative and qualitative rationale and support for the communication of investment ideas to portfolio managers utilizing knowledge of Financial Mathematics, Derivative Pricing Theory and Equity & Fixed Income Derivatives.

• Perform quantitative analysis through database applications and programming languages C++, VBA, SQL, and MATLAB 

Requirements:

• 3-5 years of progressive professional experience in the financial services industry, in the area of developing quantitative hedging strategies, managing asset liability risks, and\or managing a book of complex exotic derivatives such as Variable Annuity guarantees.

• A mix of capital market and actuarial background is strongly preferred. Either an ASA with hands-on experience in annuity risk management and investment background and / or a quant with hands-on experience in capital markets and understanding of annuity risk management.

• Must have annuity products experience, including reserves, economic capital, pricing metrics, and financials.

• Strong knowledge of Financial Mathematics with solid understanding of Derivative Pricing Theory, and their Applications.

• Volatility, equity and fixed income derivatives: complex structured products, exotic hybrid “basket” options, fund linked, multivariate, path-dependent, variance swaps, etc.

• Excellent computer skills (especially C++, SQL, Excel, Visual Basic, Matlab)

• Quantitative Masters’ qualification required.

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com

Ashton Lane Group® “A trusted advisor throughout your career”