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AVP, Quantitative Risk Analyst

4 months ago

New York, New York, United States Aflac Full time
About Our Company

Aflac Asset Management, LLC, (d.b.a. Aflac Global Investments or GI) is a wholly owned subsidiary of Aflac, Incorporated (Aflac). GI is headquartered in New York's financial district at 100 Wall Street and is the organization responsible for the overall investment activities of Aflac and its subsidiaries in Japan, the U.S., and Bermuda. With ~150 employees globally, GI manages an investment strategy focused on maximizing long-term returns with a focus on preservation of capital, subject to our affiliated insurance company's objectives for income, asset-liability management, liquidity, and capital. GI is responsible for generating approximately $3.5 billion of annual investment income from Aflac's general accounts from a mix of public and private assets (including strategic partnerships) across multiple geographies and currencies. As of year-end 2023, Aflac's total general account portfolio was $100 billion.

The investment teams support GI's overall goals and objectives by implementing, managing, and overseeing multiple portfolios encompassing different strategies across various fixed income and growth asset classes utilizing both internal teams of analysts, portfolio managers, and traders and external third party asset managers. GI utilizes a rigorous approach to deploying and managing assets driven by a disciplined strategic asset allocation which establishes portfolio parameters based on long term expectations for performance.

Please note: Aflac Global Investments' hybrid working environment requires a minimum of 3 days in the office each week

POSITION SUMMARY

Working as a member of Aflac Global Investments (GI) and the Global Investments Risk Management (GIRM) team, participate in the delivery of second line risk management and associated analytics for investment and investment related activities in Aflac's subsidiary, Aflac Asset Management LLC (AAMLLC). Collaborate on the development, implementation and validation of the division's investment risk and capital models. Support the enhancement of the investment risk framework to ensure robust identification, assessment, measurement and monitoring of key risks.

KEY RELATIONSHIPS

Role Reports to: Vice President, Investment Risk

Reports to: Primary Relationships: GIRM team members, Quantitative Analytic Solutions team, GI information technology, GI business leaders and staff, ERM, business partners including accounting, tax, legal, actuarial, treasury

OVERALL RESPONSIBILITIES
  • Collaborate with GIRM teams members to perform second line comprehensive risk analyses across investment risks to ensure compliance with the firm's risk appetites, tolerances and investment risk limits
  • Work closely with Quantitative Analytic Solutions team to validate and calibrate models to support implementation
  • Provide documentation and validation of models and calibration techniques
  • Collaborate with GIRM's technologists to ensure models are efficient and robust as deployed into production
  • Provide support for Market and Credit risk analysis
  • Participate in the production and presentation of oral and written analyses and concepts, including management recommendations, to senior management
CANDIDATE QUALIFICATIONS
  • 5+ years of relevant work experience in financial services risk management (preferably life insurance), either in industry, or as a consultant
  • Master's Degree in Financial Engineering, Mathematical Finance or Mathematics or a related major is desirable
  • CFA, FRM, Actuarial credentials or similar investment risk management credentials a plus
  • Strong model development experience in programming languages such as C#, Python, and VBA is a must
  • Experience modeling public and private fixed income asset classes, public and private equity, derivatives and alternatives is desirable
  • Knowledge of statistics and its application to the financial services industry
  • Life insurance actuarial modeling and implementation experience is a plus, as is familiarity with life insurance company financial statements
  • Strong analytical and critical thinking skills is a must
  • Strong verbal and written communication skills
  • Highly organized with the ability to work on multiple projects with different deadlines
  • Team player
The range on this positions is: $68,000 to $175,000

This compensation range is specific to the job level and takes into account the wide range of factors that are considered in making compensation decisions including, but not limited to: education, experience, licensure, certifications, geographic location, and internal equity. The range has been created in good faith based on information known to Aflac at the time of the posting. Compensation decisions are dependent on the circumstances of each case. This salary range does not include any potential incentive pay or benefits, however, such information will be provided separately when appropriate.

In addition to the base salary, we offer an array of benefits to meet your needs including medical, dental, and vision coverage, prescription drug coverage, health care flexible spending, dependent care flexible spending, Aflac supplemental policies, 401(k) plans, and generous paid time off. You'll also be granted time off for designated paid holidays and other leaves of absence, if eligible, when needed to support your physical, financial, and emotional well-being. Aflac complies with all applicable leave laws, including, but not limited to sick, adoption and parental leave, in all states and localities.

We will consider for employment all qualified applicants, including those with a criminal history, in a manner consistent with the requirements of all applicable federal, state, and local laws, including the Los Angeles Fair Chance Initiative for Hiring Ordinance, the San Francisco Fair Chance Ordinance, and the New York City Fair Chance Act. Applicants with criminal histories are encouraged to apply.