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 and analytical skills.
• Solid written communication skills.
• 3+ years of experience in VA hedging or modeling of interest rate and equity derivatives.
• Higher degree in mathematics, financial engineering, computer science or related quantitative field
• Actuarial credentials or relevant experience -- preferred but not necessary
• Programming background using C/C++, Matlab and VBA.
• Experience in CUDA C is desirable
• Aptitude for complex technical work