Insurance Risk Manager and Client Solutions Quantitative Modeler
Company: Western Asset Management Company Limited
Location: Pasadena
Posted on: May 12, 2022
Job Description:
The Client Solutions team partners with our clients to help them
address their unique investment needs. Areas of focus include
regulatory capital, asset allocation, asset-liability matching
(ALM), liability-driven investing (LDI), portfolio construction and
optimization, tail risk hedging, and portfolio analytics. Housed
within the Risk Management and Quantitative Solutions (RMQS)
department, our team leverages the firm's intellectual capital and
resources globally to serve our clients. We work closely with the
Client Service (CS) and Investment Management (IM) teams to provide
investment insights and craft bespoke portfolio solutions. We cover
all regions globally and all client channels, with an emphasis on
insurance and pensions; as such, a deep understanding of the
characteristics of liabilities of insurers and pensions, and how to
value them, is highly desired for this position. What you will
do
- Support Western Asset's Strategic Insurance Initiative,
analyzing the risk characteristics of books of insurance
businesses, supporting the portfolio construction process to match
assets to liabilities, help evaluate books of insurance business,
and partner with the Strategic Insurance Initiative team in the
valuation of different business ventures. -
- Support the Insurance channel as both risk manager and a Client
Solutions manager, working on a variety of projects for clients and
conducting risk analyses -
- Understand insurance regulatory frameworks, especially NAIC,
given the undergoing Strategic Insurance Initiative -
- Support the construction of capital efficient portfolios under
different insurance regulatory regimes, given the global reach of
Western Asset and the global nature of our clients. Examples are
regulatory capital requirements under K-ICS, Taiwan RBC, Solvency
II for BOLI portfolios, and other regimes -
- Have proficiency in differences of liabilities patterns of
different types of insurers, and interact with actuaries to
understand the nature of liabilities in order to analyze surplus
risk both from a center and a tail of distribution viewpoints under
the available tools. Develop the appropriate tools as necessary
-
- Interact with other members of the RMQS department, CS and IM
teams across the globe -
- Manage the investment risk of primarily insurance and LDI
portfolios, using Western Asset's proprietary risk system WISER,
and conduct client presentations representing independent risk
management
- Contribute to the construction of portfolios that support
liabilities over time while incorporating other objectives and
constraints
- Develop asset allocation studies for Client Service,
interacting with different business channel heads and Client
Service Executives
- Contribute to the portfolio construction and optimization
processes
- Develop analysis of hedging strategies to mitigate different
types of risks, including tail risks
- As risk manager, conduct periodic risk reviews of client
portfolios with Western Asset's CS and IM teams, and ultimately
with our clients
- Leverage the tools and models of the RMQS department, including
Western Asset's proprietary risk system, WISER, to provide analysis
and insights to our clients
- Assist in the production of customized presentation
materials
- Interact with the Information Technology department on issues
related to automation of different tools developed by the RMQS
department
- Stay on top of leading-edge financial research
- Represent Western Asset and the Client Solutions team in client
meetings and external forums. Where analytical ability comes first
Bring us exceptional quantitative and analytical reasoning skills
and we'll create a role to suit you. We encourage initiative and
innovation. Our team is highly collaborative and collegial. While
self-motivation is vital, shared problem-solving and learning are
strongly supported. We build working relationships across the
firm's departments and regions globally. What you will bring
- A PhD or Master's degree in a quantitative field such as
Econometrics, Finance with a heavy focus on asset liability
management, or Actuarial Sciences, as well as close to 10 years of
relevant work experience, possibly in an insurance company, asset
manager working with insurers, or related environment.
- Strong verbal and written communication skills
- Working knowledge of fixed income
- Strong quantitative and analytical reasoning skills
- Familiarity with third party analytics systems such as Yield
Book, POINT, or Bloomberg
- Demonstrated skill in one or more programming languages such as
Excel/VBA, SQL, C++, Python, or R
- A strong desire to work in a team-oriented and client-focused
environment About Western Asset At Western Asset we're saying hello
to the future. Committed to being the leading fixed-income
investment management firm in the world, we're investing in new
technologies, methodologies and markets. We're also investing in
our people. Our business is guided by a belief in doing the right
thing: that if we treat our clients and colleagues with fairness
and respect, success will follow. We're building on our reputation
and resources with an entrepreneurial approach that drives
innovation. Every day is an opportunity for us to get better by
making the most of the possibilities that our people and ideas can
bring. -
Keywords: Western Asset Management Company Limited, Pasadena , Insurance Risk Manager and Client Solutions Quantitative Modeler, Executive , Pasadena, California
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