TITLE : Associate (The Prudential Insurance Company of America – Newark, NJ)
DUTIES: Develop liability and asset models in support of ALM and risk management of insurance products. Research and implement interest rate, equity, credit, and inflation models used in valuation of domestic and international products and Economic Scenario Generator (ESG) solutions across the company. Research and optimize innovative methods in large scale Monte Carlo simulation. Support analysis and research related to implementation of hedging strategies. Model new types of insurance products with embedded capital markets risk. Design and implement liability P&L attribution models.
REQTS : Master's degree or foreign equivalent in Mathematics, Actuarial Science, Physics, Financial Engineering, or a related quantitative field and one (1) year of experience in the position offered or as a Analyst, or a related position. Must have one (1) year of experience with: Variable Annuity Valuation; stochastic model development; pricing library in C and CUDA; variable annuity hedging practice; GAAP and STAT reserve requirements for insurance liabilities; parallel computing and HPC system; Economic Scenario Generator (ESG); programming languages including C#, Matlab, SQL, VBA, and HPC. Must have passed Exams C, MFE, FM, and P towards ASA designation.
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Prudential was founded on the belief that being financially prepared is a right, not a privilege.