VP, Head of Quantitative Analytics
Location: New York, New York
Job Type: Full time
About Our Company
Aflac Asset Management, LLC. d.b.a Aflac Global Investments located in downtown financial district located at 100 Wall Street is the organization responsible for the overall investment activities of Aflac, Inc. With approximately 150 employees in US (New York) and Japan (Tokyo); Aflac’s Global Investments organization seeks to maximize risk-adjusted returns subject to our liability profile and capital requirements and generates in excess of $3.0 billion a year in net investment income. Aflac Global Investments is a wholly owned subsidiary of Aflac, Inc. As of December 31, 2021, Aflac assets were $149.8 billion with revenues totaling $22.3 billion.
Working as a member of Aflac Global Investments (GI) and the Quantitative Analytic Solutions team, design, develop and implement key analytic modeling tools and systems to support GI’s investment strategy, asset allocation, portfolio management and hedging activities. Deliver sophisticated quantitative models, quantitative analysis, and financial data to support current and new investment initiatives. Manage the Quantitative Analytic Solutions team.
Reports to: Chief Risk Officer – Aflac Global Investments Risk Management
Relationships: Primary Relationships: CIO Office, Portfolio Managers, Credit Analysts, GI business leaders and staff across front, middle and back office, GI Risk Management, GI IT and other key Aflac business partners in both U.S. and Japan including accounting, tax, legal, actuarial, treasury
- Develop and calibrate models for implementation related, but not limited to, the following functional areas:
- Hedging strategies and optimization in FX, IR, Credit, Derivatives, and Private Assets domains
- Strategic Asset Allocation and Tactical Asset Allocation with both total return and income lenses
- Portfolio Management
- Portfolio Simulation – Scenario Based Modeling; Economic Scenario Generation, and Portfolio Optimization
- Develop modeling methodology for complex investment strategies seeking opportunities to leverage swaps, forwards, options, hedging and other technical investment instruments to support investment team while being mindful of support capital measurements and regulatory analytics (U.S. and Japan focus) with potential exposure to other regulatory jurisdictions and rating agencies.
- Short/Long term projects associated with building and expanding on key functionality within the asset management investment platform.
- Provide documentation of modeling methodologies, assumptions and calibration techniques – experience delivering to sr. management.
- Collaborate with all parts of GI investment team, including GI IT to ensure models are efficient and robust (without error) and deployed into production.
- Provide technical expertise and support to Investments team, including senior management with ad-hoc projects and new investment work-streams as needed.
- Create, produce and present oral and written analyses and concepts, including management recommendations to senior management
- Stay abreast of developing techniques to ensure modeling is current and robust and provide thought leadership on quantitative analysis and modeling methods
- Manage a team of quantitative analysts, providing leadership and guidance on workflow and special projects
- 10+ years of demonstrated quantitative modeling development and execution to further enhance the investment platform; insurance asset management experience a plus
- Master’s Degree in finance, financial engineering, mathematics, quantitative finance, physics or similar quantitative degree is required. PhD degree and/or CFA designation is a plus.
- Advanced understanding of fixed income, Vanilla FX/IR Derivatives, alternatives and growth assets, along with private structured assets with demonstrated experience of modeling asset class risk and return
- Experience managing quantitative and technical teams
- Developed experience in hands-on programming experience involving large projects, implementation of quantitative models, and understanding to write usable and understandable code; Python preferred, SQL, C++ or similar experience desired as well
- Superior analytical and critical thinking skills with demonstrated experience distilling technical work into business presentations
- Knowledge of source control (Git/Github), databases (Snowflake), visualization tools (Plotly/Dash) and Big Data / ML frameworks (Scikit-learn, Apache Spark) is a plus
- Excellent communication and influencing skills, including presenting to executive management
- Highly organized with the ability to work on multiple projects with different deadlines
- Extensive experience with leading modeling projects in a highly matrixed organization
- Team player
Schedule: This is a hybrid role and requires a minimum of 3 days in the office each week at our NYC location
The current salary range for this job is $143,000 to $235,000
This compensation range is specific to the job level and takes into account the wide range of factors that are considered in making compensation decisions including, but not limited to: education, experience, licensure, certifications, geographic location, and internal equity. The range has been created in good faith based on information known to Aflac at the time of the posting. Compensation decisions are dependent on the circumstances of each case. This salary range does not include any potential incentive pay or benefits, however, such information will be provided separately when appropriate. In addition to the base salary, we offer an array of benefits to meet your needs including medical, dental, vision coverage, prescription drug coverage, health care flexible spending, dependent care flexible spending, Aflac supplemental policies, 401(k) plans, and generous paid time off. You’ll also be granted time off for designated paid holidays and other leaves of absence, if eligible, when needed to support your physical, financial, and emotional well-being. Aflac complies with all applicable leave laws, including, but not limited to sick, adoption and parental leave, in all states and localities.
We will consider for employment all qualified applicants, including those with a criminal history, in a manner consistent with the requirements of all applicable federal, state, and local laws, including the Los Angeles Fair Chance Initiative for Hiring Ordinance, the San Francisco Fair Chance Ordinance, and the New York City Fair Chance Act. Applicants with criminal histories are encouraged to apply.