Investment Risk Quantitative Associate I

Summary:

This position supports the Company's efforts to measure, monitor and manage investment risk. Provides research, development, testing and validation of complex quantitative analytical models used in managing risks across all investment portfolios. Maintains, operates and enhances systems used to provide regular portfolio risk analytics. Supports performance measurement, benchmark development and reporting, and fixed income analytics. With direction from superiors, performs ad hoc analysis and modeling to support strategic portfolio management decisions.

Primary Duties & Responsibilities:

• Assist in the execution of investment risk model development
  • Research, develop, validate and maintain the complex quantitative financial investment risk models comprising:
  • Surplus stress testing model
  • Quantitative models for assessing market, credit and liquidity risk assessment across multi-asset class portfolio including fixed income, equity, commercial mortgage loans, derivatives, and alternative asset classes.
  • Understand portfolio quantitative risk assessment techniques and methodologies such as: VaR, Credit VaR, Marginal risk contribution, Expected loss, Unexpected loss, etc.
  • Research and implement emerging risk mitigation techniques, risk measurement tools, risk modeling methodologies
• Derivatives valuation and risk modeling
  • Support Investment Risk Management's interests in derivative management system utilization development and enhancements, and in implementing new derivative strategies.
  • Helps to develop complex models to monitor the risk in the derivative exposure strategy
  • Keeps abreast of theoretical quantitative advancements in interest rate, currency, and volatility models
• Perform and support investment risk analysis, and quantitative investment analytics including:
  • Aggregation of investment activities across departments for exposure, risk characteristics, and relative value and risk analysis
  • Understand modern portfolio theory and multi-assets portfolio risk/return characteristics and diversification benefits of new investment types considering risk/return trade-off and diversification benefits compared to current investment opportunities
  • Understand quantitative market and credit risk assessment.
  • Performing stress test of the portfolio for market, credit, and liquidity risks while considering an interaction with insurance liabilities, regulatory, and rating agency requirements
  • Evaluating the impact of changing investment limits and strategies
  • Support the development and implementation of new or enhanced investment risk management techniques, analysis and procedures
• Support the capital market assumption and economic scenario processes across enterprise initiatives.
  • Support the development of annual capital market assumptions for general account portfolios. Maintain and evolve the CMA framework; ensure fit-for-purpose across key stakeholders; create and publish annual CMA results.
  • Support the development of annual economic scenarios for client planning and wealth management applications. Maintain and evolve the scenario framework; ensure fit-for-purpose across key stakeholders; create and publish annual scenario results.
• Performance and benchmark analysis
  • Aggregates total benchmark risk characteristics
  • Compares investment activities across departments for relative value analysis
  • Measures, monitors, and reports on out-of-benchmark positions
  • Determines appropriate ranges for various investment exposures based on diversification and risk/reward characteristics

Knowledge, Skills, & Abilities:

• Bachelor of Science degree in quantitative finance, financial mathematics, economics or other quantitative field
• Strong competencies in finance and advanced mathematics and statistics, including stochastic calculus, probability theory, Monte Carlo simulation technics, requires proven technical aptitude.
• Strong expertise in equity and fixed income risk assessment, with a solid grasp of market, credit, and liquidity risks, stress testing, VaR, and scenario analysis.
• General understanding of financial statement analysis
• Utilizing SQL and other data tools to support risk management.
• Broad working knowledge of valuation and terminology of derivatives and other investment types (including fixed income, equity, real estate, and alternative assets)
• High degree of personal initiative, demonstrated ability to work independently, excellent follow-through ability and sense of personal accountability
• Ability to deal effectively and professionally with people at all levels
• Experience using MATLAB, Bloomberg, Power BI and various analytical vendors systems including Calypso, BlackRock Aladdin, CoStar, Intex, Moody's Analytics products.

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Compensation Range:

Pay Range - End:

We believe in fairness and transparency. It's why we share the salary range for most of our roles. However, final salaries are based on a number of factors, including the skills and experience of the candidate; the current market; location of the candidate; and other factors uncovered in the hiring process. The standard pay structure is listed but if you're living in California, New York City or other eligible location, geographic specific pay structures, compensation and benefits could be applicable, click here to learn more.

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Northwestern Mutual is an equal opportunity employer who welcomes and encourages diversity in the workforce. We are committed to creating and maintaining an environment in which each employee can contribute creative ideas, seek challenges, assume leadership and continue to focus on meeting and exceeding business and personal objectives.

We're excited about the potential people bring to Northwestern Mutual. You can grow your career here while enjoying first-class perks, benefits, and our commitment to a culture of belonging.

• Flexible work schedules
• Concierge service
• Comprehensive benefits
• Employee resource groups