Derivatives Portfolio Manager at Equitable

New York, New York, United States -

Full Time

Start Date

Immediate

Expiry Date

03 Jun, 26

Salary

179000.0

Posted On

05 Mar, 26

Experience

2 year(s) or above

Remote Job

Yes

Telecommute

Yes

Sponsor Visa

Skills

Derivatives Portfolio Management, Futures, Total Return Swaps, Interest Rate Swaps, CDS, Options Trading, Risk Mitigation, Variable Annuity Products, GMxB, RILA, Hedge P&L Reporting, Derivatives Pricing, Asset-Liability Management, Liquidity Management, Stress-Testing, BlackScholes Models

Industry

Financial Services

Description

Equitable Financial Life Insurance Company seeks a Derivatives Portfolio Manager for its New York, NY location. Duties: Support management of multi-asset derivatives portfolio (equity, rates, and credit) spanning from linear instruments (futures, total return swaps, interest rates swaps, CDS, etc.) to options (vanilla, digital, exotics), or variance swaps. Assist with execution of trading programs. Analyze and support mitigation of market risks associated with the variable annuity products, including GMxB (Guaranteed Minimum Benefits) or RILA (Registered Index-Linked Annuities). Assist in reporting hedge P&L and effectiveness of the hedging programs to senior management. Conduct research and analysis on specific derivatives products, including pricing, risk factors and performance metric to manage derivatives strategy. Enhance operational processes to support trading, P&L reporting and attribution. Maximize effectiveness of hedging programs through changing markets. Work collaboratively with stakeholders from actuarial, finance, treasury, investments, risk management or legal to support ALM, liquidity and stress-testing. Monitor and advise on evolutions of the derivatives markets and regulatory landscape. Requires a Requires a Master’s degree in Financial Mathematics, Financial Engineering, Business Analytics or related quantitative field and 2 years of experience as Quantitative Analyst, Actuary or related position involving derivatives hedging and financial risk management in insurance industry. Experience must include: Valuation, pricing and reserve calculation for structured annuity and life products Development of pricing models and hedging platforms, including model calibration, simulation and optimization Asset-liability management for structured annuity and life products Knowledge of vanilla options, exotic options, BlackScholes models, Monte Carlo Simulations, Stochastic models (Heston), and market implied volatility structure Fixed income pricing/modeling and calculation/analysis of duration of bond Utilizing data structures and visualization, data processing and manipulation Object-oriented programming C++, Python, VBA, Perl Script. and batch scripting for building calculation models, automation of recurring processes and refining existing pricing tools. 40 hours/week. Salary is $144,000 - $179,000. Direct applicants only. Applicants send resume to TalentAquisition@equitable.com (Ref. job code CD01728) or search job title through https://equitable.com/about-us/careers. EOE M/F/D/V.

Responsibilities

The manager will support the management of a multi-asset derivatives portfolio, handling instruments from linear assets to complex options, and assist with the execution of trading programs. Duties also include analyzing and supporting the mitigation of market risks associated with variable annuity products and reporting hedge P&L effectiveness to senior management.