Investment Senior Associate (Enterprise Risk Strategy)
Location: Newark, New Jersey
Posted: November 18, 2017
Reference ID: RIS0005B
Within Enterprise Risk Management, Enterprise Risk Strategy oversees the governance of PFI’s Risk Appetite Framework (RAF) and the supporting design and implementation of Deterministic Stress Testing (DST) programs for risk management. The Risk Appetite Framework provides a comprehensive assessment of Prudential's Risk Profile and Risk Capacity, using reserves, capital and liquidity as common metrics. It integrates risk based on multi-year forecasts across risk types, businesses, and under baseline and stress scenarios to aid senior management and the Board in making well informed business decisions.
A key component of this function is developing and expanding economic scenarios used in Liquidity Stress Testing, Deterministic Stress Testing, AAT, Recovery and Resolution Plans. These scenarios and supporting analysis are critical to the development of asset and liability forecasts provided to senior management and regulators.
While guided by the Stress Testing Advisory Council (STAC), stress test process structure and implementation efforts also require close partnership with Corporate Actuarial, Treasurer’s, Tax and other finance area teams, Model Risk Management, and business unit actuarial groups.
The Investment Senior Associate will work with team members on a range of projects involving
•developing and implementing scenarios used in stress testing processes across the Enterprise
•analysis of results from stress tests
•managing key quantitative methods to support our risk analytics and documenting those methods for approval by management and governing councils
•developing econometric approaches to support forecasting needs
To be successful, this requires a candidate who
•has a strong knowledge of, and practical experience applying, statistical and econometric analytic tools;
•is a self-starter with strong intellectual curiosity;
•has advanced quantitative and financial analysis skills with a broad understanding of insurance/investment products and financial markets;
•has skill and experience extracting key data from large data sets with the insight to identify critical risk drivers; and,
•has solid knowledge of key macroeconomic factors.
• 3-7 years' experience in actuarial, financial or investment analysis roles emphasizing expert quantitative skills and practical, qualitative judgment
• Strong knowledge of macroeconomics
• Advanced quantitative modeling ability with experience building, testing and documenting complex database and/or spreadsheet-driven analysis
• Solid written and verbal communication skills - able to express complex ideas clearly and succinctly to both technical and non-technical audiences
• Familiarity with key components of statutory and GAAP financial statements
• Stress testing experience helpful
• Programming ability/experience (e.g., VBA) helpful
• FSA, ASA and/or CFA important
• Advanced degree in a related discipline preferred