We have an exciting new opportunity for a Quantitative Analyst, Investments. In this role, you will shape outcomes and add significant value as we further develop the operating model for our general account. This role offers the unique opportunity to build capabilities and drive key decisions.
Key Responsibilities:
Investment Strategy:
- Generate capital market assumptions.
- Develop models to test and optimize investment strategy using a capital efficiency and asset-liability framework.
Investment Manager Arrangements:
- Design investment manager benchmarks considering liability key rate durations and credit risk charge targets.
- Conduct quantitative analysis of investment manager performance, including attribution.
Portfolio Performance, Risk, and Exposure Management:
- Perform overall portfolio performance attribution.
- Generate overall portfolio risk reports.
- Conduct scenario analysis and stress testing.
- Act as the technical owner of the risk system.
- Conduct investment market and economic research.
- Analyze overlay trade sizing and risk (CDS and bond futures).
Collaboration and Stakeholder Engagement:
- Support the production and communication of quality and timely information to all levels of management and through ALCo.
- Collaborate with the ALM team on ALM strategy, implementation, and mis-match reporting.
- Provide technical investment guidance and advice to the broader TAL community as required.
