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Quantitative Analyst

3 months ago


Chicago, Illinois, United States Allstate Insurance Company Full time

The world isn't standing still, and neither is Allstate. We're moving quickly, looking across our businesses and brands and taking bold steps to better serve customers' evolving needs. That's why now is an exciting time to join our team. You'll have opportunities to take risks, challenge the status quo and shape the future for the greater good.

You'll do all this in an environment of excellence and the highest ethical standards – a place where values such as integrity, inclusive diversity and accountability are paramount. We empower every employee to lead, drive change and give back where they work and live. Our people are our greatest strength, and we work as one team in service of our customers and communities.

Everything we do at Allstate is driven by a shared purpose: to protect people from life's uncertainties so they can realize their hopes and dreams. For more than 89 years we've thrived by staying a step ahead of whatever's coming next – to give customers peace of mind no matter what changes they face. We acted with conviction to advocate for seat belts, air bags and graduated driving laws. We help give survivors of domestic violence a voice through financial empowerment. We've been an industry leader in pricing sophistication, telematics, digital photo claims and, more recently, device and identity protection.

We are the Good Hands. We don't follow the trends. We set them.

Duties:

Perform quantitative analysis and research within the Risk and Return group with primary focus on risk management and asset allocation. Perform risk and portfolio reporting, performance measurement, attribution, investment technology and infrastructure, and asset-liability management. Develop quantitative models that inform the asset and risk allocation decisions; and value-adding tools to enhance risk and asset allocation processes. Use quantitative techniques to forecast returns and risks for traditional asset classes and alternative investment strategies. Partner with the Risk Management team to model, understand, and manage the risk in the investment portfolios. Model and measure full range of investment risks, including interest rate, credit, equity, currency, counterparty, and liquidity. Effectively communicate model results and findings to the broader organization and to senior management. Develop tools to support asset allocation and relative value decisions across markets. Partial telecommute benefit (2 days/week WFH).

Requirements:

Ph.D. degree in Statistics, Data Analytics, Business Administration or related quantitative fields of study (willing to accept foreign education equivalent) plus three (3) years of experience as a Quantitative Analyst or related occupation conducting asset allocation, investment risk management, quantitative investment research and developing investment strategies, or, alternatively, Master's degree in Statistics, Data Analytics, Business Administration or related quantitative fields of study (willing to accept foreign education equivalent) and five (5) years of experience as a Quantitative Analyst or related occupation conducting asset allocation, investment risk management, quantitative investment research and developing investment strategies

Requirements Cont'd:

Must also possess the following (quantitative experience requirements not applicable to this section):

  • Demonstrated Expertise (DE) analyzing market trends, macroeconomic indicators, and financial data to identify opportunities and risks in different market conditions to maximize returns for various asset classes;
  • DE performing investment risk management including calibrating marginal return distributions for investment assets and corresponding asset correlations, simulating and testing impact to capital adequacy to quantify investment risk exposure in terms of Value at Risk;
  • DE developing mathematical and statistical models such as generalized regression models, time series, matrix factorization, nonlinear optimization, and risk aggregation;
  • DE building machine learning models such as hidden Markov regime switching, random forest, gradient boosting and mixture models, using MATLAB, R and Python; and

DE developing, testing and maintaining optimization models for asset allocation, option pricing model, relative valuation model using cointegration to assess relative values of asset pairs as well as top-down asset variance model for strategic asset allocation.

To apply, submit resume to Reference Position Number:756053

Salary: $145,960.22/year


Compensation offered for this role is $145,960.22 and is based on experience and qualifications.

The candidate(s) offered this position will be required to submit to a background investigation, which includes a drug screen.

Good Hands. Greater Together. SM

As a Fortune 100 company and industry leader, we provide a competitive salary – but that's just the beginning. Our Total Rewards package also offers benefits like tuition assistance, medical and dental insurance, as well as a robust pension and 401(k). Plus, you'll have access to a wide variety of programs to help you balance your work and personal life -- including a generous paid time off policy. For a full description of Allstate's benefits, visit

Learn more about life at Allstate. Connect with us on Twitter, Facebook, Instagram and LinkedIn or watch a video. #LI-DNI

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