Actuarial Consultant I, Global Market Risk
Location:
Bridgewater , New Jersey
Posted:
March 10, 2017
Reference:
39461-en_US

Job Location: United States : New Jersey : Convent Station  

 

 

As a Financial Engineer you will participate in researching available market instruments (IR, FX, EQ and Inflation Linked Derivatives) for various calibration models including interest rate models, currency hybrid models and inflation models. Work with country representatives from Asset Liability Management (ALM), Global Risk Management (GRM) and Investments to set standards for Risk Neutral model calibration and scenario generation.

    

 

  • Develop pricing models in Numerix SDK C# to validate Risk Neutral Scenarios and partner with IT, Derivative Trading Desk and Investment Middle office to build a production process, including market data feed, model calibration, pricing validation and scenario generation, to support Global ALM sensitivity runs.
  • 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 major market movements and communicate the anticipated changes in Liability risk profile to product managers.
  • Performs other related duties as assigned or required.

 

  • Bachelor’s degree in Finance, Mathematical, Statistics, Actuarial Science, Computer Science or any other related field.
  • 1 year + experience in financial industry.
  • 1 year+ experience programming skills using C#/C++ or Java with parallel computation.
  • Master’s degree preferred.
  • Familiar with popular mathematical models on interest rate, equity, FX and inflation.
  • Understanding the fundamentals of derivative pricing methodology and being able to program the pricing models in a grid-production environment.
  • Ability to work independently and manage numerous projects.

 

Global Risk Management

 

1

 

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.

 

 

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.

For immediate consideration, click the Apply Now button. You will be directed to complete an on-line profile. Upon completion, you will receive an automated confirmation email verifying you have successfully applied to the job.

Requisition #: 39461 


A little about us:
MetLife offers life insurance, disability income insurance, car insurance, employee benefits and more.

Know someone who would be interested in this job? Share it with your network.