Job Location: United States : North Carolina : Charlotte
: Reporting to the Head of Variable Annuity ALM, this position is primarily responsible for leading Brighthouse Financial efforts to model and value a variety of economically volatile liabilities using risk neutral mechanics. He or she is responsible for weekly and monthly liability hedging analytics and supporting projects aimed at enhancing analytics, results, and efficiencies, assisting in the maintenance and validation of actuarial models, and reporting results to internal and external stakeholders.
- Design, develop, back test, and conduct economic scenario performance analysis on investment strategies under different market environments using quantitative models
- Lead the company’s efforts to leverage large data sets and third-party data sources to create analytical tools and data interfaces
- Build and maintain a financial time series database for pricing, economic and fundamental data
- Specify and prototype algorithms and collaborate with the development group to develop and maintain a code library
- Lead efforts to leverage academic and industry research material for idea generation
- Maintain current knowledge of global capital markets and provide timely updates as they relate to portfolio performance and risk management
- Lead the use of sophisticated mathematical techniques, including simulation and option pricing models, to support variable annuity product designs
- Influence the pricing of various life and annuity products through evaluation of the economic value and economic capital requirements
- Measure and monitor risk associated with separate account guarantees, using an option pricing-based valuation system
- Model cash flows that are sensitive to market conditions, such as lapses, transfers, flexible premium persistency, and benefit payments
- Support the development of appropriate investment and/or hedging strategies to support new product innovations
- Ensure that interest rate and other market-related risks are properly evaluated and ROI calculations are based on an amount of economic capital reflective of these risks
- Perform economic capital calculation, especially related to liability optionality, for annual business planning purposes
- Develop economic scenario generators, including interest rate, stock market, and inflation models. Calibrate such models to both historical and current market conditions
- Prepare the VA financial reporting package in collaboration with internal stakeholders to provide commentary explaining results to senior management
- Assess and lead the development of reports on all information pertaining to VA economic liabilities and derivative assets on multiple reporting bases (e.g., Economic, US GAAP, IFRS)
- Develop embedded value reporting including attribution and sensitivity studies
- Support internal treasury initiatives
- Perform other related activities as required
- 10+ years of experience with increasing responsibilities in a quantitative strategy role
- Strong knowledge of derivatives pricing or portfolio management
- Model development experience designing and implementing complex models across multiple disciplines
- Proficient in MS Excel, Word, and PowerPoint
- PhD in related discipline required; advanced technical degrees and/or CFA preferred
- Demonstrated ability to consider multiple views in making business decisions
- Excellent communication, interpersonal, and management skills with the ability to persuade, negotiate, and arbitrate to effect change and achieve desired results
- Thinks Strategically – Sets direction aligned to the company’s strategy, applying external and global perspective to meet local and global needs.
- Motivates People – Gains people commitment to achieve business objectives through clear communication of the company’s vision and flexing leadership styles to inspire high performance.
- Creates Partnerships – Authentically builds trusted relationships and collaborates across global, diverse and multi-functional teams to successfully drive business objectives.
- Reports to: Head of Variable Annuity ALM
- Direct reports/team: 2 direct reports
- Key Stakeholders: Head of Variable Annuity ALM, Treasurer, Management Team, Product and Underwriting
MetLife, through our subsidiaries and affiliates, is one of the largest life insurance companies in the world. Founded in 1868, we are a global provider of life insurance, annuities, employee benefits and asset management. Our employees serve approximately 100 million customers, individuals and businesses, including over 90 of the FORTUNE 100®.
We are ranked #40 on the Fortune 500 list and #48 on the Forbes Global 500 list. We have operations in nearly 50 countries, and hold leading market positions in the United States, Japan, Latin America, Asia, Europe and the Middle East. We are also one of the largest institutional investors in the U.S. with an over $500 billion general account portfolio as of December 31, 2015.
In 2015, FORTUNE Magazine’s World’s Most Admired Company survey named us #1 in the Life and Health Insurance industry. In 2016, we were named to the Dow Jones Sustainability Index (DJSI) for the first time. DJSI is a global index to track the leading sustainability-driven companies.
While we have tremendous respect for the past, we are a company firmly focused on the future. To adapt to a changing world, we are undergoing one of the most dramatic transformations in our history to reinvent how we do business so we can thrive in any environment. We are moving away from a traditional product-development model to one driven by customer insights. We are challenging historical norms by humanizing our industry and designing every customer experience to reflect the modern company we’re becoming. Our goal in everything we do is to offer customers truly differentiated value propositions that allow us to establish clear competitive advantages. We pride ourselves on being a trusted partner to our customers as they navigate life’s twists and turns.
At the center of our business strategy is a commitment to One MetLife – collaborating, sharing best practices, and recruiting, developing and retaining the best talent in the industry. We live by our values: Put Customers First, Be the Best, Make Things Easier, and Succeed Together. They guide how we operate every day.
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.
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Requisition #: 35444
MetLife offers life insurance, disability income insurance, car insurance, employee benefits and more.