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Responsible for both Risk Analytics and Model Risk. Responsible for developing analytical methods to assess market, credit and / or operational risks of new and existing financial products. Responsible for developing and maintaining standardized and reportable metrics related to macro-level risk measurements. May also contribute to calculations related to capital adequacy, regulatory reporting requirements and / or credit exposures. Responsible for developing models that evaluate risk for new and existing products which may include stress testing, sensitivity analyses, scenario testing and Monte Carlo simulations. Also analyze models used by the business to ensure that risks within the business' financial models are properly identified and consistent. Will also communicate modifications / corrections to the model back to the particular product area.
The Vice President, Pension and Structured Solutions Quantitative Modeling, is a new position that will lead the quantitative modeling team in support of Prudential's US and Global Pension Risk Transfer and Structured Settlement businesses. The position reports to the Vice President, P&SS Pricing, Pension & Structured Solutions and will be located in Woodbridge, NJ.
- Leads the development and maintenance of a robust, integrated, state-of-the-art pricing & financial modeling platform for new and in-force products across all Pension & Structured Solution markets. The analytical platform will bring together the most advanced techniques in fully-stochastic, multi-asset ALM with market-leading analysis of stochastic longevity risk to fuel intelligent risk-taking and risk-management for a global leader in the vibrant pension risk transfer and structured settlement markets.
- Partners to develop and refine pricing, modeling, and capital methodology and financial frameworks for new and existing products
- Develops pricing and modeling infrastructure in accordance with financial foundation including modeling of balance sheets and income statements, capital, reserves, investments, etc.
- Builds, parameterizes, and creates production environment for stochastic modeling of investment and longevity risks. Ensure controlled and optimized modeling platform for pricing teams.
- Ensures controls and procedures that comply with enterprise policies and pricing standards.
- Extends modeling platform to in-force book of business ($30 billion and growing) including reserving and capital models. Develops analytical tools to assess and improve in-force financial management, including modeling of portfolio and derivative strategies in the context of economic risks as well as statutory and GAAP reserves and capital to optimize ongoing risk management and overall risk/return trade-offs.
- Provides quantitative modeling for P&SS product development: Develop quantitative modeling of new risks in support of the Global Longevity Reinsurance business, US Pension Risk Transfer business, and Structured Settlement Business. These businesses are on an aggressive growth trajectory for Prudential, having achieved success in the UK and the US, with potential market reach into Canada and the Netherlands, among other markets totaling $3 to $5 trillion globally.
- Leads Longevity risk research & development; develops modeling toolkit for mortality underwriting and mortality improvement, including data-mining and proprietary predictive modeling, as well as deterministic and stochastic projection engines utilized in pricing, reserving, and capital.
- Supports complex ad hoc deal modeling and problem solving; support jumbo deal execution teams as needed.
- Partners closely with Business leads, Pricing VPs, ALM quant team, and Actuarial teams. Build and lead team of 5-6 professionals. Contribute to overall P&SS and actuarial/quantitative leadership climate.
- Bachelor's degree required
- Demonstrated, superior technical expertise in fully stochastic quantitative and/or actuarial risk-based modeling; ability to perform complex analytical work in assessing and modeling financial, investment, and actuarial risks, reserving, capital modeling and/or management, hedging, and other actuarial modeling.
- Demonstrated ability to lead quantitative resources and build controlled, production-environment quantitative models and tools.
- Excellent presentation and communication skills; ability to communicate results and influence at senior management level
- Ability to convey sense of urgency and to work productively with internal and corporate business partners (product, actuarial, finance, tax, treasurers, ALM, etc.)
- Highly motivated and creative problem solver; able to thrive in a fast-based, results oriented environment.
- Strategic thinker on actuarial pricing, modeling, and product design issues; demonstrated ability to thoughtfully analyze, assess, challenge, and influence, across ALM, actuarial, controllers, treasurers, and business partners.
- Strong project management skills
- Collaborative and team-oriented leadership style
- Market exposure within Financial Services/Retirement/Structured Products industry
- CFA, FSA strongly preferred; 10+ years of quantitative actuarial/asset/investment/risk modeling; other risk/investment professional designations such as CFA, CERA, PRM, or FRM would be welcomed.