Analyst, Modeling and Analytics Group, Chief Investment Office
Job Code: 404698
Job Location: New Jersey-Newark
Prudential’s Chief Investment Office manages market risk associated with Variable Annuity (VA) Guarantees. The group owns the analysis of key liability and asset risk measures and decision-making relative to the hedging of these risks.
The Modeling and Analytics group within the Chief Investment Office is responsible for liability and asset modeling, R&D, analysis, and broad strategic quantitative support of pricing, hedging, and valuation of VA guarantees.
• Develop and maintain derivative valuation and projection capabilities in support of ALM and risk management of insurance products
• Research and implement interest rate, equity, credit, foreign exchange, and inflation models used in valuation of domestic and international products and Economic Scenario Generator (ESG) solutions across the company
• Interface with CIO’s technology team to build market data and trade databases, and automate data feeds
• Support analysis and research related to implementation of hedging strategies
• Strong quantitative and analytical skills
• Solid written communication skills
• Creative problem solver with an aptitude for complex technical work
• 0-5 years working experience in the area of rates and/or equity derivatives modeling
• Bachelor's degree required. Higher degree in financial engineering, mathematics, computer science, statistics or similar quantitative field strongly preferred.
• Knowledge of derivative instruments, including options, swaps, and futures
• Familiarity with various asset classes, such as fixed income, equities, credit, and foreign exchange
• Working knowledge of, and a strong desire to work with, complex pricing library in C and CUDA a must.
• Familiarity multithreaded programming.
• Familiarity with general VA hedging practice desirable
• Programming experience with C#, Matlab, python is a plus
Prudential is a multinational financial services leader with operations in the United States, Asia, Europe, and Latin America. Leveraging its heritage of life insurance and asset management expertise, Prudential is focused on helping individual and institutional customers grow and protect their wealth. The company's well-known Rock symbol is an icon of strength, stability, expertise and innovation that has stood the test of time. Prudential's businesses offer a variety of products and services, including life insurance, annuities, retirement-related services, mutual funds, asset management, and real estate services.
We recognize that our strength and success are directly linked to the quality and skills of our diverse associates. We are proud to be a place where talented people who want to make a difference can grow as professionals, leaders, and as individuals. Visit www.prudential.com to learn more about our values, our history and our brand.
Prudential is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, genetics, disability, age, veteran status, or any other characteristic protected by law.
Note that this posting is intended for individual applicants. Search firms or agencies should email Staffing at firstname.lastname@example.org for more information about doing business with Prudential.
Job Function: Investment Management