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Manager of ALM Strategy

Baltimore, MD

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Job Description Job #: 855885 Responsibilities Understand and evaluate variable annuity hedging P/L risk drivers and find ways to improve hedge performance and ALM risk management. Follow the insurance industry trend and best practices, innovations in the capital market and help adopt advanced ALM strategies within the organization. Perform research in new investment or hedging strategies through back testing, time series analysis and capital modeling. Provides analytical support to Management, specifically on Big Data Requires decision making on development, presentation and interpretation of various ALM reports. Models and quantifies risks including: equity and interest rate sensitivities, cash flow variability, credit, alternative investments or liquidity risks. Works with colleagues to monitor and maintain hedging models and programs by: structuring new hedges, helping maintain portfolios on systems, and preparing portfolio hedge program and cash flow reports. Participate in liability, asset and risk systems development projects. Other duties as assigned based on divisional needs. Conforms with and abides by all regulations, policies, work procedures, instruction and all safety rules. Requirements: Requires a graduate degree in mathematics, actuarial science, finance, economics, or related field with 6 years relevant work experience OR pHD in related fields with 3 years of relevant work experience Ability to code in Python or C u00a0 Experience writing SQL queriesu00a0 Passionate about data andu00a0 Experience with big data technologies Knowledgable of quantitative finance, actuarial science and/or scientific computing.

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