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Director, Head of Derivative Analytics

Date Posted: Jul 23, 2019

Location: Whippany, NJ, US, 07981

Company: MetLife

The Role

Head of Derivatives Analytics will lead the front office Derivative Analytics Team at MetLife.  They will be responsible for the development and maintenance of MetLife Investment Advisors derivatives models used to price and stress test a $300bn notional derivatives portfolio.  The successful candidate will manages a three-person team that provides proprietary analytics to different areas of the Firm, including Finance, Treasury, and the Derivatives Front Office Traders.  The candidate will have the opportunity to work with risk management, ALM, finance, treasury and gain broad exposure across the organization.

 

The successful candidate will possess a superior understanding of derivative pricing methodologies and models, and how to apply them in practice.  

 

They will have extensive experience in managing IT analytical projects, and with cloud computing technologies.  They will play a critical role in preparing MetLife and MetLife Investment Advisors for the transition to alternative reference rates.  The Head of Derivative Analytics will oversee the development of pricing models, and discount curves referencing SOFR, SONIA, ESTER and other IBOR alternatives.  They will also assess the impact of alternative rate fallback methodologies and strive to promote certainty, reduce disruption and allow for the smooth transition from legacy benchmarks.

 

The successful candidate will have a deep programming and quantitative background, combined with a technical understanding of the derivative products especially rates and equity derivatives.  They will partner with the senior members of the Structured Solutions team as well Liquidity & Risk Management, Derivatives Middle Office and, Planning, Projections & Management Reporting to continuously help develop leading-edge analytics and integrated/automated processes.  The selected candidate will report to the Managing Director of the Structured Solutions Unit.

 

Key Responsibilities:

Derivative Analytics and IT infrastructure

  • Assess suitability of infrastructure given current and future projected needs
  • Develop trading desk models for Interest Rate, Foreign Currency, Credit, Inflation, Equity and Hybrids
  • Prototype derivative analytics, and work with IT to implement into Production
  • Develop derivative pricing models / approaches for new derivative instruments
  • Price exotic/structured derivatives
  • Establish analytical methods to incorporate derivative impact on financial measures including NII, and Capital
  • Assist the Desk with pricing requests including CSA specific discounting, and Best Execution requirement
  • Implement next generation, service-oriented analytic technology to support the real-time analytic needs of the XVA desk
  • Coordinate derivative analytical needs related to MIM offerings to 3rd party clients
  • Work closely with Variable Annuity Hedging Team to provide financial engineering expertise as it relates to new products and risk analysis used in the teams dynamic hedging strategy
  • Articulate model behavior and predictions to traders, identify risk and provide analyses of scenarios
  • Work as a liaison between front office traders and IT to set requirements and manage progress of front office IT projects

Regulatory Requirement

  • Partner with Liability teams to refine and enhance capital markets assumptions in liability pricing
  • Function has a major role in preparing for the transition to alternative reference rates.  Develop pricing models, and discount curves referencing SOFR, SONIA, ESTER, and other IBOR alternatives.  Assess impact of alternative rate fallback methodologies 
  • Prepare MetLife for upcoming mandatory Initial Margin requirements

Leadership

  • Work cross-functionally with diverse teams, including Investments IT, Treasury, Risk Management, ALM, Middle Office, Accounting and Portfolio Management
  • Effectively lead staff in a manner that results in high productivity and performance; champion a culture of continuous improvement. Provide a working environment that enables staff to grow and succeed on a professional level
  • Work with International Liability Product Management teams to review deal structures and model new product offerings

Key Relationships:

  • Reports to: VP Structured Solutions Unit
  • Direct Reports/team: 2  
  • Key Stakeholders: Liquidity & Risk Management, Derivatives Middle Office and, Planning, Projections & Management Reporting

 

Candidate Qualifications:

Essential Business Experience and Technical Skills:

  • Minimum 8-10 years of experience in rate and equity derivatives products required
  • Proficiency in Numerix Cross-Asset required
  • Excellent communication skills; ability to express complicated methodologies to the business stakeholders
  • Excellent programming skills and knowledge of scripting languages such as Python and Java
  • Practical experience with Credit Value Adjustments and Potential Future Exposure
  • Candidate must be able to demonstrate proficiency in object-oriented programming
  • Knowledge of the Libor Market Model, Hull-White Model, Heston Models, OIS and dual curve stripping, volatility surface construction, convexity adjustments is required
  • Knowledge of Regulatory IM requirements, including functionality of ISDA SIMM (Standard Initial Margin Model) is required
  • Must be detail-oriented with strong time management/prioritization skills and ability to work independently is essential
  • Advanced Degree in a Quantitative Discipline is required, preferably in the hard sciences, mathematics or financial engineering

MetLife Leadership Competencies:

  • Thinks Strategically – Sets direction aligned to the company’s strategy, applying external and global perspective to meet local and global needs. Must be a creative and innovative thinker who can bring thoughts to actions
  • Motivates People – Gains people commitment to achieve business objectives through clear communication of the company’s vision and flexing leadership styles to inspire high performance.
  • Creates Partnerships – Authentically builds trusted relationships and collaborates across global, diverse and multi-functional teams to successfully drive business objectives.
  • Seizes Opportunity – Seeks new opportunities and ways to create balanced business growth while improving operational capabilities.
  • Grows Talent – Inclusively and pro-actively develops talent, empowers individuals and manages diverse teams to drive engagement and performance.
  • Models our Values – Creates a culture that promotes the company’s values and standards through role modeling, accountability and ownership of decisions.
  • Focuses on Customers – Promotes customer centricity and ensures focus on creating great customer experiences to achieve competitive advantage.
  • Drives Results – Sets aggressive goals and is accountable for continuously driving improved performance, leading change and ensuring high standards. Consistently strives for continuous improvement. Analytical approach to problem solving

 

 

 

MetLife is a proud equal opportunity/affirmative action employer committed to attracting, retaining, and maximizing the performance of a diverse and inclusive workforce. It is MetLife's policy to ensure equal employment opportunity without discrimination or harassment based on race, color, religion, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity or expression, age, disability, national origin, marital or domestic/civil partnership status, genetic information, citizenship status, uniformed service member or veteran status, or any other characteristic protected by law.

MetLife maintains a drug-free workplace.

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Requisition #: 110584 


Nearest Major Market: New Jersey