Director, Quantitative & Hedging Strategy

Summary

Join our team as a Director, Quantitative & Hedging Strategy and develop advanced quantitative models to assess risk in the derivatives portfolio, supporting F&G's derivatives trading activities. This role will collaborate closely with various teams to design and implement asset and liability hedging strategies, modelling capabilities, and other analytical competences aligned with the company's strategic objectives.

Requirements

• Bachelor’s degree in Computer Science, Finance, Economics, Statistics, Engineering, Mathematics, or a related field
• 8+ years of advanced programming experience, including VBA, MATLAB, Python, C#, or Java
• 8+ years of experience in derivatives modeling, risk analysis, and application development, with a focus on options, swaps, currency, bond forwards, swaptions, and other complex derivative instruments
• CFA/FRM/CQF designations preferred
• Life and annuity business experience required, with understanding of statutory (STAT) and GAAP accounting principles

Responsibilities

• Support Risk Hedging leadership in defining the risk strategy for the derivatives portfolio, aligned with company objectives
• Manage advanced valuation models, risk analytics, and decision-support tools for derivatives trading
• Lead macro trade strategy ideation designed to manage ALM, earnings, capital and market volatility while maintaining effective risk coverage and reducing hedge costs
• Oversee systems and processes related to derivative portfolio analytics, with a focus on complex instruments such as options, swaps, currency, bond forwards, and swaptions
• Direct initiatives to enhance system performance, ensuring the accuracy of derivative models and automating processes like pricing and reconciliation
• Partner closely with IT, the Director, Quantitative Analytics, and other Quantitative Analysts to ensure the system meets current and future needs, applying best practices in architecture and system design
• Conduct research to develop complex derivative pricing methodologies and estimate parameters for pricing models, with a focus on sophisticated derivative structures such as exotic options (e.g., Cliquets), bond forwards, interest rate swaps, currency and swaptions
• Develop and implement derivative pricing models using advanced frameworks such as Bates jump diffusion models, Heston models, local volatility models, and Monte Carlo simulations for enhanced pricing accuracy and risk assessment
• Validate models using historical analysis and performance testing, providing insights for model refinement
• Support actuarial teams by delivering detailed analytics, such as option cost projections and budget analysis for new annuity products
• Propose hedging strategies for liability hedging of Fixed Indexed Annuities (FIA), Indexed Universal Life (IUL), and Registered Index-Linked Annuities (RILA), as well as general account ALM and macro hedging strategies
• Monitor and compare model valuations daily, generating reports to ensure consistency and performance
• Maintain and enhance the custom, in-house derivatives valuation system, updating it for new products and pricing models as required
• Design and extend the system infrastructure to accommodate future model developments, ensuring it scales with the company's growth and evolving needs
• Improve code efficiency and deliver solutions for evolving business needs, including product changes
• Generate ad-hoc reports using SQL and other data tools to support derivative trading decisions and risk management
• Automate key processes like pricing sheets and reconciliation workflows for increased efficiency
• Work collaboratively with key stakeholders in actuarial, finance, investments, and risk to support asset-liability management (ALM), liquidity risk measurement, and overall portfolio management
• Lead responses to regulatory and internal risk management requirements, ensuring compliance and effective risk oversight of pricing models
• Propose strategic trades, including macro-level transactions, leveraging strong business acumen, accounting principles, and deep market knowledge

Benefits

Flexible work arrangements