Senior Market Risk Analyst, Quantitative Methods ~ Capital Markets Hedging ~ Newark, NJ Job Listing at Prudential in Newark, NJ

Insurance, Finance

Prudential's Capital Markets
Hedging manages market risk associated with Variable Annuity
Guarantees. The group owns the analysis of key asset and
liability risk measures and decision-making relative to the hedging
of these risks.

The Quant Methods group, within
Capital Markets Hedging, is responsible for R&D, analysis, and
broad strategic quantitative support of pricing, hedging, and
valuation of VA guarantees.

Responsibilities:

• A key position in the Quant
  Methods group within the Capital Markets Hedging area.


• Support and develop asset and
  liability modeling tools that utilize GP GPU technology


• Research and implement complex
  interest rate, equity, and inflation models used in valuation of
  domestic and international products and ESG solutions across the
  company.


• Research and implementation of
  innovative methods in large scale Monte Carlo
  simulation.


• Support analysis and research
  related to implementation of hedging strategies.


• Modeling of new types of
  insurance products with embedded capital markets risks.


• Documentation of research and
  analysis in form of research papers

• Strong quantitative andanalytical skills.
• Solid written communicationskills.
• 3+ years of experience in VAhedging or modeling of interest rate and equityderivatives.
• Higher degree in mathematics,financial engineering, computer science or related quantitativefield
• Actuarial credentials orrelevant experience -- preferred but not necessary
• Programming background usingC/C++, Matlab and VBA.
• Experience in CUDA C isdesirable
• Aptitude for complex technicalwork