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Actuarial Consultant I, Global Market Risk

Date Posted: Feb 14, 2021

Location: Whippany, NJ, US, 7981

Company: MetLife

Position: Actuarial Consultant I, Global Market Risk

 

Job Location: United States : New Jersey : Whippany

 

Role Value Proposition:    

Partner with IT, Derivative Trading Desk and Investment Middle Office to build a production process, including market data feed, model calibration, Martingale validation, pricing validation, and scenario generation, to support Global Asset Liability Management (ALM) sensitivity runs. Develop pricing models in Numerix SDK C# to generate and validate risk neutral scenarios. Research and develop new risk analytics to enhance current ALM hedging strategies and support replicating portfolio development. Explore new pricing models and develop back-test strategies to analyze the implied hedging impact from popular market-driven models. Monitor significant market movements and communicate the anticipated changes in liability risk profile to product managers. Work with country representatives from ALM, Global Risk Management and Investments to set standards for risk neutral model calibration and scenario generation. 

 

Essential Business Experience and Technical Skills:

Bachelor's degree in Finance, Mathematics, Mathematical Finance, Statistics or Actuarial Science (willing to accept foreign education equivalent) plus two (2) years of experience researching and developing derivatives pricing and risk analytics for the financial industry using Numerix packages. Specific skills/other requirements (quantitative experience requirement not applicable to this section unless otherwise stated) -- must possess the following: developing pricing models in Numerix SDK C# to generate and validate risk neutral scenarios (2 years); programming using Visual Basic, C#/C++ or Java with parallel computation (1 year); researching market instruments for calibration models, including interest rate models, equity models, currency hybrid models, and inflation models; and programming pricing models in a grid-production environment utilizing derivative pricing methodology.

 

Requisition #:

115800

 

Business Category

Global Risk Management

 

Number of Openings

1

 

Contact Information

Submit resume to Ashley Lonsinger Ashley.L.Lonsinger@metlife.com

 

Hiring Manager

Hongkai Zhang

 

“At MetLife, we’re leading the global transformation of an industry we’ve long defined. United in purpose, diverse in perspective, we’re dedicated to making a difference in the lives of our customers.” 

 

#LI-DNI

MetLife:

MetLife, through its subsidiaries and affiliates, is one of the world’s leading financial services companies, providing insurance, annuities, employee benefits and asset management to help its individual and institutional customers navigate their changing world. Founded in 1868, MetLife has operations in more than 40 countries and holds leading market positions in the United States, Japan, Latin America, Asia, Europe and the Middle East.

 

We are one of the largest institutional investors in the U.S. with $651 billion of total assets under management as of September 30, 2020. We are ranked #48 on the Fortune 500 list for 2020. In 2019, we were named to the Dow Jones Sustainability Index (DJSI) for the fourth year in a row. DJSI is a global index to track the leading sustainability-driven companies.

 

MetLife is committed to building a purpose-driven and inclusive culture that energizes our people. Our employees work every day to help build a more confident future for people around the world.

 

We want to make it simple for all interested and qualified candidates to apply for employment opportunities with MetLife.  For further information about how to request a reasonable accommodation, please click on the Disability Accommodations link below.

 

MetLife is a proud Equal Employment Opportunity and Affirmative Action employer dedicated to attracting, retaining, and developing a diverse and inclusive workforce. All qualified applicants will receive consideration for employment at MetLife without regards to 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.

 

Requisition #: 115800