Head of ALM Research and Development

Key Skills

Analytical and Problem solving, C++, Data Modeling, Effective communication skills, Finance, Product Development, Python Programming

Job Description

When you join New York Life, you’re joining a company that values career development, collaboration, innovation, and inclusiveness. We want employees to feel proud about being part of a company that is committed to doing the right thing. You’ll have the opportunity to grow your career while developing personally and professionally through various resources and programs. New York Life is a relationship-based company and appreciates how both virtual and in-person interactions support our culture.

The ALM & Investment Strategy Team at New York Life is tasked with partnering with businesses, finance community and asset management teams to develop and implement ALM and Investment strategies that help the business met their strategic and financial objectives. Evolving ALM strategies with advances in technology and data science, market structure, and modeling capabilities is critical to a robust state-of-the-art ALM program. To that end New York Life is looking to bring in a new Head of Research & Development to lead a team focused on researching new market models, analytics tools, asset classes, and work on static and dynamic strategy development to enhance the performance of investment strategies aimed at very long dated insurance liabilities, with embedded optionality.

Position Summary

To lead and work hands on with a small team on research and development in the area of asset liability management of long dated insurance liabilities.

Major Responsibilities

• Work hands on and lead a small team focused on Research & Development of new models and approaches to managing very long dated liabilities with embedded optionality.
• Develop frameworks to evaluate the risk reward measures for long dated liabilities. Perform historical and forward-looking analysis of strategy performance. Assess and develop market models to evaluate strategies.
• Evaluate different aspects of dynamic strategy performance such as cost and benefit of strategy decisions around timing and thresholds for rebalancing various risks, as liabilities evolve with moving markets.
• Evolve and keep current with the with the evolving theories, methodologies, market structure and risk reward measures.
• Support technical Product development and development of derivatives strategies.
• Assist Modeling & Analytic team in implementing new strategies and concepts in models.

Qualifications

• Bachelors degree or higher in a quantitative/technical field. Ph D or Masters Degrees in quantitative fields is a strong plus.
• 10+ years of experience in the fields of Financial Engineering, ALM modeling at a financial institution. Deep technical expertise necessary to research ALM concepts and market models to improve analytical approaches and methodologies through understanding of capital markets.
• Strong foundations in financial engineering, asset pricing, economic variable modeling. Deep understanding of risk-neutral options pricing theory including modeling of exotic options. Strong programming skills preferably in Python and C++ etc. Experience with stochastic simulations of investment strategies is a strong plus.
• Strong problem solving and trouble shooting skills. Thinking outside the box.
• Understanding of insurance products and accounting frameworks is highly desirable but not required.
• Strong communication skills. Ability to explain technical concepts to less-technical constituencies

Salary range:

Overtime eligible: Exempt 

Discretionary bonus eligible: Yes 

Sales bonus eligible: No 

Click here to learn more about our benefits. Starting salary is dependent upon several factors including previous work experience, specific industry experience, and/or skills required.