- Perform tasks relating to the development, monitoring and execution of RGA's derivative strategy across all asset classes and product types.
- Contribute to the maintenance of existing derivative-based hedge portfolio performance which include listed and OTC positions. Manage positions by rolling trades and monitor market levels for trade triggers.
- Price and execute trades in all asset classes, including but not limited to: interest rate swaps, cross currency swaps, credit default swaps, inflation swaps, total return swaps, swaptions, FX forwards, bond forwards, and fixed income futures.
- Work together with portfolio managers in Investment Solutions team to design and implement derivative strategies for hedging, replication, and income generation purposes within block reinsurance transaction.
- Work closely with Global Portfolio Management on the collateral and derivatives needs for the total consolidated balance sheet.
- Assist in the process of getting new derivative strategies reviewed and approved by internal stakeholders and governance committees.
- Partner with Legal and Operations, assisting in the negotiation of current and new derivative trading legal infrastructure such as ISDAs, CSAs, trade confirms and FCM agreements. RGA operates numerous legal entities in multiple legal and tax jurisdictions globally.
- Effectively communicate and make trade recommendations where appropriate.
- Build and maintain relationships with derivative broker/dealers to improve trade execution and proactively identify areas of partnership.
- Work closely with Operations and Accounting to ensure strong operating and financial controls are followed for derivative books. When appropriate making sure derivative trades receive US GAAP hedge accounting treatment.
- Performs other duties as assigned.
- Maintain regular and predictable attendance.
- Perform other duties as assigned.
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Senior Analyst, Derivative Portfolio Management - Chesterfield, United States - RGA Reinsurance Company
Description
Position OverviewRGA Investments is a global asset manager based in St. Louis with over $79 billion in fixed income and equity securities under management. Investment Solutions is a high impact team of portfolio managers and analysts in RGA Investments with associates located in St Louis, London, and Singapore. Investment Solutions develops and executes liability driven investment strategies to optimize risk adjusted returns. The Sr. Analyst, Derivatives Portfolio Management and Trading, will assist the Head of Derivatives Portfolio Management and Trading in all aspects of derivative strategy design and execution
Responsibilities
EDUCATION AND EXPERIENCE
Required:
•Bachelor's degree in a field requiring strong analytics and quantitative skills such as Mathematics, Physics, Engineering, Computer Science, or Financial Engineering, AND
5+ years of experience in fixed income markets (buy or sell). Strong knowledge of the derivatives market & ideally experience trading this sector
OR
•Master's, MBA, ASA, or FSA AND
2+ years of experience in fixed income markets (buy or sell). Strong knowledge of the derivatives market & ideally experience trading this sector
Preferred:
•Understanding of asset and derivative pricing
•Experience with ALM, financial market liabilities and risk management
SKILLS AND ABILITIES
Required:
•Advanced investigative, analytical, and problem-solving skills
•Ability to work well in an environment with multiple concurrent projects, managing project-based workflow within demanding time frames and adapt quickly to new methods
•Solid oral and written communication skills
•Programming knowledge/experience with Python, MATLAB, SQL, C++, or R is preferred. Familiarity with Numerix, QuantLib, or other quant tools a plus
•Persuasion and negotiation skills when working with internal/external customers to resolve issues and problems
•Advanced ability to work well within a team environment and participate in department/team projects
•Ability to work well individually with little supervision as well as within a team
Company Overview
Reinsurance Group of America, Incorporated (NYSE: RGA) is one of the largest global providers of life reinsurance, with offices around the world. RGA delivers expert solutions in individual life reinsurance, individual living benefits reinsurance, group reinsurance, financial solutions, facultative underwriting, and product development. Our mission is to enhance our clients' prosperity by supporting their financial and risk management capabilities.
The general pay range for this position is $100k-$120k base per year.Base pay varies depending on job-related knowledge, skills, experience and market location.In addition, RGA provides an annual bonus plan that includes all roles and some positions are eligible for participation in our long-term equity incentive plan.RGA also maintains a full range of health, retirement and other employee benefits.
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