Quantitative Analyst (Fixed Income)

Quantitative Analyst

We are working with a leading insurance company that is looking to hire a Quantitative Analyst with a strong fixed income (rates/credit) and derivatives background to join their Asset Management team. This role would involve working closely with the firm's M&A and reinsurance team, which is focused on the acquisition and management of portfolios of insurance policies.

The role will involve working on the development of optimised investment portfolios/portfolio construction and derivative investment strategies for portfolios and ongoing M&A activity. The role will also be responsible for the maintenance and reporting of those strategies and production of asset and return inputs for the team's market assumptions.

Firm Overview

The firm is a global insurance company that buys closed books of life insurance policies - they believe that by combining these books together, they can find adjacent opportunities - Taking blocks of business that are unloved by other insurers, which allows the other business to release capital and where the firm feels they can do a better job of managing the book.

Key Selling Points for the Role:

• Very good culture and the Executive Committee is based in London. There is a lot of opportunity for facetime with senior management, as it is a smaller business and even the most junior people on the team get very involved in the deals.
• Flexible working - usually in 3 days per week because the team like being together, however there could be the possibility of even 3 days per week from home if needed
• Opportunity to get involved in a wide range of exciting projects
• A fast-growing firm that is expanding and hiring across multiple areas
• Key Accountabilities
• Provide input to the assessments and quantification of potential risks and upsides of target investment portfolios.
• Perform scenario analysis on hedging strategies across rates, FX and other strategies
• Develop and maintain relationships with sell-side trading/financing desks, strategists, and researchers
• Monitor hedging exposure (rates and FX) across portfolios and provide reporting
• Conduct research and analysis on a broad range of assets and markets for input to Group Assumptions
• Collaborating in the development and maintenance of an internal Python model including maintenance of documentation

Skillsets & Background Required

• 3+ years experience in a quantitative role within a financial services company
• Good knowledge and experience working in fixed income (rates/credit) markets, as well as a good understanding of derivatives
• Experience programming and coding in Python
• Strong quantitative skills
• Good understanding of the insurance space
• Ability to learn quickly in a fast-moving environment
• Team-oriented approach to sharing workload and leverage skill sets
• Strong communication skills both verbal and written and the ability to present results to a non-technical audience.
• Ability to work as an individual contributor and take initiative to learn new things. You may work on something you haven't worked on before but are prepared to go and learn and find out about this area and build your knowledge

Examples of Projects This Person Might Work On:

• Example 1: Book of business in Switzerland - hedging CHF to USD - the underlying manager is doing forward FX to manage currency position, however they do not manage the basis risk, so the investment the team will do some FX hedging over it. Models are quite sensitive to changes in the underlying portfolios. In this role, the person might look to put the model into production
• Example 2: A Yen/Dollar deal is complete - need someone that looks at EUR vs US - needs to be able to build models, portfolio construction, multi-currency transactions
• Example 3: Looking for the assets that come into portfolio and how to optimize them - sometimes you might be thinking in terms of asset classes - might be taking on 1bn of liabilities and will have already worked out that the team needs to have a block trade for XYZ amount of US Credit, Calculations, working out of the business plan etc