Actuarial Consultant II

Job Description

Position: Actuarial Consultant II

Job Location: One MetLife Way, Whippany, New Jersey 07981

Key Responsibilities:

Research available market instruments, including interest rate (IR), foreign exchange (FX), equities (EQ) and Inflation Linked Derivatives, for various calibration models, including interest rate models, currency hybrid models, and inflation models. Work with country representatives from Asset Liability Management (ALM), Global Risk Management (GRM) and Investments to set standards for Risk Neutral model calibration and scenario generation. Develop pricing models in Numerix SDK C# to validate Risk Neutral Scenarios. Partner with IT, Derivative Trading Desk and Investment Middle office to build a production process, including market data feed, model calibration, pricing validation and scenario generation, to support Global ALM sensitivity runs. Research and develop new risk analytics to enhance current ALM hedging strategies and support Replicating Portfolio development. Explore new pricing models and develop back-test strategies to analyze the implied hedging impact from popular market driven models. Monitor major market movements and communicate anticipated changes in liability risk profile to product managers.

Essential Business Experience and Technical Skills:

Bachelor's degree in Actuarial Science, Mathematics or Statistics (willing to accept foreign education equivalent) plus three (3) years of experience developing derivative pricing or risk models for the financial industry. Specific skills/other requirements (quantitative experience requirement not applicable to this section unless otherwise stated) -- must possess the following: programming pricing models in a grid-production environment using C#, Java, R, or Python (3 years); exploring new mathematical models on interest rate, equity, FX, and inflation, including developing back-test strategies in economic capital or regulatory capital framework; and researching and developing new risk analytics to enhance current ALM hedging strategies, applying the fundamentals of derivative pricing methodology.

Requisition #:

115049

Business Category

EC Strategy & Tech. Support 20500

Number of Openings:

1

Contact Information:

Submit resume to Ashley Lonsinger [email protected]

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Requisition #: 115049

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