Description
The Financial Risk Analyst is responsible for running monthly option valuation, projecting asset cash flows, and creating models for a wide variety of private debt and equity investments. The role requires extensive interaction with both internal and external parties and will be responsible for maintaining adequate documentation to ensure compliance with established modeling controls. The Financial Risk Analyst works collaboratively with both the Investment Accounting and ALM Management and Actuarial Modeling teams.
Essential Duties and Responsibilities:
Maintains and updates the cash flow projection process (based on BondEdge software) by reviewing data inputs for quality and compliance issues.
Assists in developing and maintaining hedging systems and tools for trading and valuation of derivatives.
Creates and analyzes asset/liability management risk reports on the quarterly basis to support business asset/liability management decisions.
Updates the Company’s options evaluation model each month and creates hedging reports based on Numerix software.
Performs the quantitative analysis to track the effectiveness of hedges including calculating Greeks to support dynamic hedging program.
Creates and refines valuation models for private, illiquid assets, including primarily fixed-income assets, equity, and hybrid assets
Maintains audit-usable documentation of the models and overall valuation/reporting processes.
Assists the technology team in automating the reporting and valuation processes.
Supports the Financial Risk Management team and/or other departments on an as needed basis.
Willingly takes on additional responsibilities as requested. Actively contributes to the goals of the Company by working collaboratively and fostering a positive work environment.
Actively participates and contributes to the goals and objectives of the Company by working collaboratively and fostering a positive and inclusive work environment.
Skills and Abilities:
Strong financial modeling skills in evaluating fixed income, equities, hybrid securities, and options. Rather than merely being able to use common financial models, a deep understanding of underlying financial valuation principles is important because many of the Company’s assets have unusual characteristics.
Intermediate working knowledge of Microsoft Office products, including Excel.
Familiarity with advanced features and formulas required within Excel.
Good verbal and written communication skills, and ability to operate effectively in a matrix environment.
Highly organized and rules-oriented.
Ability to effectively meet deadlines and be punctual.
Experience withNumerix, Bloomberg terminals, PAM, Aladdin, and BondEdge preferred.
Training or Work Experience:
Minimum 2 years of experience in an option derivatives, fixed-income, private equity, or hybrid-asset valuation role.
Familiarity with life insurance company ALM risk management, including credits risk and market risk preferred.
Programming experience in Numerix and BondEdge preferred.
Familiarity with Power Query and VBA preferred.
Education:
Bachelor’s Degree Required
Accounting, Finance, Statistics, Actuarial Science, Computer Science, Quantitative Mathematics, or a related field of study.
Working Conditions:
Travel not required/likely.
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