AVP, ALM & Capital Analytics

Job Summary

The AVP, ALM & Capital Analytics will be responsible for the leadership of Asset / Liability Management, Economic Capital and Stress Testing methodology of the company's business. As part of the ALM role, this position will support the implementation of portfolio and product based ALM and hedging strategies. In addition, the role will support and monitor the company’s interest rate derivatives (e.g. Treasury bond forwards, interest rate swaps, swaptions) and currency hedges to enhance/preserve yield, and overall improve the ALM/duration profile.

Organization

This position requires frequent interaction and collaboration with professionals and leaders within Finance, Capital & Liquidity, Investments, Actuarial, and Retail/Institutional business lines. This position will play a key role in Committees such as ERM, Investments, ALCO, and Hedging.

Duties and Responsibilities

• Lead Asset/Liability Committee (ALCO) to monitor and optimize ALM at the Enterprise, Entity and Product level.
• Build out next level analytics for both assets and liability to manage KRD’s and convexity.
• Lead development of Aladdin platform for risk management of the investment portfolio including credit risk modeling for ORSA/Risk Appetite and real-time credit surveillance.
• Conduct targeted risk focused assessments of various investment and hedging activities to improve capital efficiency
• Design and construct stress testing of assets and liabilities. Monitor ALM and other asset/liability related risks.
• Monitor and develop more robust dashboards for liquidity analysis. Collaborate with Capital & treasury team to develop robust liquidity stress testing.
• Provide insight during the product development process regarding ALM impact on portfolio constructs backing the liabilities
• Economic Capital Modeling to optimize financial decision-making across the company, evaluate risk capital and solvency, and optimize capital allocation
• Collaborate with Risk leadership in the design, implementation and management of risk strategies & processes – i.e. hedging/investment strategies, asset liability matching techniques, risk in-force reviews, assessment of investment vs. product risk – to develop early warning risk framework for investment risk that may affect the business
• Work with FGL’s investment team, as well as outside asset managers and investment professionals to understand the asset risks inherent in the portfolio
• Develop and prepare investment risk dashboards and surveillance reports for board meetings, presentations and key company reports
• Standing attendee at reviews of internal and external asset managers
• Model and analyze portfolio exposure to key risk factors (industry, geography etc.) to proactively identify emerging risks
• Assist in the management of interest rate derivatives portfolio with a focus on analyzing, selecting and executing hedging strategies to support overall balance sheet positioning needs and achieve risk/profitability objectives.
• Analyze financial markets and collaborate with other teams, including the CIO office, Treasury, risk, and accounting stakeholders to evaluate structural interest rate risk exposures
• Develop analytics required to manage an interest rate derivatives portfolio with a focus on automation for improved efficiency.
• Support the evaluation of reinsurance initiatives

Experience and Education Requirements

• Bachelor’s degree in mathematics, statistics, finance, actuarial science or a related field required
• CFA, FSA, MBA or other professional designation required
• 10+ years ALM/Investment//Hedging experience; annuity/life insurance experience preferred
• Familiarity with actuarial concepts; experience with FIA and IUL product lines desired as well as futures and options utilized for hedging activities
• Strong understanding of derivative instruments, and capital markets; familiarity with fixed income instruments highly desired

Skills and Abilities

• Strong presentation and communication skills; ability to communicate complex thoughts and processes to a wide range of audiences
• Demonstrated quantitative and financial acumen.
• Superior analytical and problem-solving skills
• Self-directed high performer with ability to execute complicated projects across various organizational constituencies
• Strong problem-solving skills that include advanced analytical, modeling and reasoning abilities
• Ability to establish and maintain collaborative relationships across the organization
• Team player who can collaborate across the company, yet maintain a strong point of view to advocate a prudent risk profile