Senior Structured Quantitative Analyst

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RGA is a purpose-driven organization working to solve today’s challenges through innovation and collaboration. A Fortune 500 Company and listed among its World’s Most Admired Companies, we’re the only global reinsurance company to focus primarily on life- and health-related solutions. Join our multinational team of intelligent, motivated, and collaborative people, and help us make financial protection accessible to all.

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RGA in St. Louis MO seeks a Senior Structured Quantitative Analyst to Supports the analysis of RGA’s MBS, ABS, CLO, and CMBS portfolios through the creation and enhancement of quantitative models that are both grown organically and received from third parties, while also developing, improving, and leading internal reporting. Conducts analysis of the aggregate portfolio of these asset classes for cash flows, interest rate risk positioning, credit risk positioning, and all other security analysis work with the use of quantitative models and other reporting tools.  Specific duties include: Support the structured product group: lead development and maintenance of quantitative models that facilitate in the decision making process of a purchase or sale; lead data, analysis, and modeling requests received by the structured investments products group from other departments inside and outside of Investments; lead the analysis, testing and recommendation process of all third party modeling and tool enhancements and communicate updates with the group; lead data gathering, model development and administrative tasks involved with private transactions that the structured investment product group manages. Lead data and intelligence gathering processes, modeling, and testing to support creation or enhancement of structured security models and reporting from sources such as: sales and trading staff at Wall Street firms, Bloomberg news and messages, selective research and other emails from Wall Street brokers and analysts. Communicate these findings with the structured product group and how it will affect the relative value analysis on structured securities. Lead all reporting for the structured investments products group including weekly performance reports and benchmarking, monthly pricing, CECL, OTTI, quarterly department reporting and sector performance reporting. Lead joint processes with Operations, Middle Office, and Accounting such as cashflow loading, testing, and monitoring; and analytics reviews, testing and monitoring, CECL testing and other processes. Work with the sector heads in the structured investments products group to improve quantitative methods used for credit underwriting, relative value analysis, and monitoring of both investments and sectors. Lead monthly MPM and reporting process for spreads of all sectors and sub-sectors of the structured products market including RMBS, CMBS, ABS and CDOs/CLOs. Lead the monthly pricing challenge and documentation process for the structured investments products groupies including documenting the reasons for challenges according to accounting standards. Use available systems and tools (BlackRock, Python, Valitana, Bloomberg, Intex) to facilitate in quantitative analysis and report building.  BlackRock for structured bonds to gain an understanding on data flow, structured product modeling and assumptions, bond characteristics and pricing, and how all these aspects drive bond analytics calculations for yield, duration, convexity, WAL (weighted average life), and spread.  Modules include Answer (bond analytics calculation engine), SMF (Security Master File), Explore and Aladdin View, and ATX.   Python to create data solutions for CMBS data workflows and RG proprietary analytical models and other tools, including ETL, Domino, Snowflake, Interface, and Python libraries. Valitana to build robust excel API queries. Bloomberg and its various functions used for portfolio-level monitoring, analyzing bond performance, CMBS collateral analysis etc. Intex, which is the dominant structured product deal data provider and has the raw deal modeling and cashflow data for CLO, ABS and RMBS. 40 hours / week, $120,000. May work hybrid. BS Math, Statistics, Economics, Risk Management, or Finance related field. The individual must possess 36 months experience in occupations that involve quantitative analysis in fixed income investments. Advanced skills in Excel, Access, and SQL Query. Intermediate knowledge in: i) understanding of quantitative factors, tools, and modeling techniques; ii) in asset/liability management in an insurance context; iii) investment management systems, in