New York Life Insurance Company · 2 days ago

Senior Director and Actuary, Asset & Liability Management & Investment Strategy (ALM & IS)

United States

Full-time

Remote

Senior Level, Lead/Staff, Director/Executive

$224K/yr - $224K/yr

3+ years exp

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Responsibilities

Researches and develops data analytics, machine-learning, and stochastic models and methods for asset liability management (ALM) and investment strategy.

This includes exploration and consolidation of internal and external data (i.e., life insurance and annuity products, market, and portfolio performance), developing models for predicting cashflows, asset allocation, risk management, and models for automating liability hedging decisions.

Works with the Chief Investment Office, Corporate Finance, Actuarial, Credit Risk, Data Science, and IT to design, build, implement, and communicate quantitative solutions to a less-technical audience.

Mentors junior staff, performs resource allocation, and develops training programs.

Assists internal stakeholders and leadership to make business decisions related to asset-liability management and investment strategy.

Qualification

Find out how your skills align with this job's requirements. If anything seems off, you can easily click on the tags to select or unselect skills to reflect your actual expertise.

Financial EngineeringAsset Liability ManagementMachine LearningQuantitative Risk ManagementStatistical MethodsPythonRC++SQLMonte-Carlo SimulationTime Series AnalysisDeep LearningData ProcessingAssociate of the Society of ActuariesFellow of the Society of ActuariesHypothesis TestingModel SelectionInterpolationExtractTransformLoad (ETL)

Required

Master's degree in Mathematics, Statistics, Actuarial Science, Computer Science or related quantitative field (willing to accept foreign education equivalent) plus three years of experience in performing financial engineering, asset & liability management and balance sheet, advanced machine-learning, artificial intelligence, and quantitative risk management and modeling within the life insurance, banking or investment industry

or, alternatively, a Bachelor's degree in Mathematics, Statistics, Actuarial Science, Computer Science or related quantitative field (willing to accept foreign education equivalent) and five years of experience in performing financial engineering, asset and liability management and balance sheet, advanced machine-learning, artificial intelligence, and quantitative risk management and modeling within the life insurance, banking or investment industry

Experience must include 3 years in each of the following skills: Developing ALM, balance sheet projection models and frameworks, balance sheet, and profit & loss (P&L) impact analysis leveraging mathematical and statistical methods (including loss models and optimization models) to evaluate risk-reward measures for long-dated assets and liabilities

Developing and implementing credit and market risk management and actuarial models for life insurance leveraging time series analysis, Monte-Carlo simulation, non-linear optimization, and quasi-Monte Carlo, regression, principal component analysis, hypothesis tests, model selection, and interpolation advanced statistical methods, and coding in Python, R or C++

Processing complex life insurance customer, transactional, and valuation data structures from multiple databases, augmented with external data and developing metadata and extract, transform, load (ETL) processes to create model-ready datasets leveraging Python, R or SQL

Developing and implementing machine-learning (ML) and artificial intelligence (AI) models, including deep-learning neural networks leveraging Python and structured and unstructured data to predict financial metrics (including cash flows, lapse rate across different products, duration, and default probability) and to improve and automate ALM processes, and coding in Python, R or C++

Must possess Associate of the Society of Actuaries (ASA) and Fellow of the Society of Actuaries (FSA) certification (or foreign equivalent actuarial certification)