Investment Risk Analyst

Company Description

PartnerRe is a leading, privately owned, multi-line global reinsurer with a reputation of financial stability and strength, and a commitment to rebuilding businesses and communities after risk events around the world.

Our mission is to continue to be a financially stable and predictable business partner, supporting our clients with solutions tailored to their needs, delivering superior returns to our owner, providing rewarding opportunities for our people and making a positive contribution to society. To achieve this, we live by our values of Integrity, Performance, Collaboration, Straightforward Communication and Respect and Care.

Core to The PartnerRe Experience is our global nature. No matter where you sit in the company, you are part of something bigger. Our teams represent our truly international mindset, forging connections across office locations and all levels of the organization and building a network of mutual success. The result is a day-to-day experience that will allow you to:

Shape your own career

Grow in a supportive environment

Connect with a community of experts

Make an impact

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Job Description

About this job:

Responsible for the timely delivery of the various Risk Management services primarily related to Investment Risk and Analytics, based in Stamford, CT.  

Reporting to: Head Market Risk Management

Primary Responsibilities:

• Develop, monitor and report on investment risk metrics around the investment portfolio.
• Responsible for internal and external reporting on invested assets including capital & risk metrics by asset class and risk type, such as scorecards, scenarios, and sensitivities evolution.
• Lead quarterly asset risk and capital modeling (stochastic and formula based) processes.
• Conduct quarterly and annual liquidity stress tests and leverage the analysis to optimize asset allocation subject to local regulatory constraints.
• Conduct peer reviews of private invested asset valuations, including performing comparable and cash flow analysis as well as sensitivity testing.
• Support the calibration of deterministic economic and financial market stress for internal and external consumption (covering both assets and correlated lines of reinsurance).
• Support Head of Market Risk Management to strengthen governance around investment activities by maintaining and refining Group, legal entity and portfolio level (risk tolerance) guidelines as well as the broader Enterprise Risk Management framework.
• Prepare 5 year asset allocation and income projection based on the investment plan for ORSA model.
• Conduct ESG Investment reporting utilizing Institutional Shareholder Services (ISS) to calculate GHG exposures, VaR, and other metrics related to ESG
• Support analysis and reporting on yield, duration and convexity of fixed income securities and betas of equity holdings.

Qualifications

About you:

Skills & Experience:

• Master’s degree in finance, actuarial, mathematics, statistics or related discipline
• At least 2 to 3 years of experience in investment risk analytics and reporting
• Strong knowledge of multiple asset classes (bonds, equities, funds, alternative investments) and their risk profiles
• Strong knowledge of asset scenario analysis, stress testing and stochastic modeling
• Basic understanding of reinsurance concepts and statutory requirements (e.g., Solvency II) a plus
• Strong working experience with Bloomberg and good coding skills (preferably R)
• Great attention to details, strong work ethic and commitment to meeting deadlines.

Additional Information