Quantitative Analysts - West Chester, United States - Venerable

Description

Title:
Quantitative Analysts


Employer:
VIAC Services Company (Venerable)


Location:
West Chester, PA


Job Description:

Support derivative portfolio managers and/or strategists in hedging capital market risk exposures of Variable Annuity liabilities and/or other risk exposures.

Monitor derivative portfolios which include listed and OTC interest-rate and equity derivatives (e.g., futures, total-return swaps, interest-rate swaps, options and swaptions, and variance swaps).

Research innovative trade ideas/hedging strategies and/or explain portfolio P&L performance and insights through clear risk reporting.

Build quantitative/analytical tools to support portfolio management and/or hedge strategy development and/or risk reporting by leveraging financial engineering, capital markets, and product knowledge.

Participate in various quantitative projects as needed to help support overall Hedging/Risk teams goals and objectives.


Minimum Requirements:
Master's degree or foreign equivalent in Quantitative Finance, Mathematics, or closely related quantitative field and minimum 2 years of experience in any occupation involving quantitative analysis


Experience must include:

managing long-short equity portfolios and running algorithm trading strategies; using Black-Scholes model to estimate Greeks for options; using fixed income models to determine duration, convexities, and coupon payments of corporate/municipal bonds; working with equity instruments including using options implied volatility series to estimate equity volatility; programing in Python and SQL based environment to conduct trading strategy analysis; conducting algorithmic trading strategies using SQL query pipeline; backtesting analysis, PNL analysis, and margin analysis; GCP with command line interface in Linux system; and maintaining development code space using Git and Azure DevOps.

#LI-DNI

Venerable Values:

Every position at Venerable has responsibility for living out the company's values as described here:

We are Courageous - We think critically, ask "why?" and seek out creative solutions.

We are Curious - We take calculated risks, learn from out failures, and challenge traditional ways of thinking.

We are Connected - We are connected to each other, our customers and our community.