Job Description
The quantitative analyst will be responsible for supporting and helping to enhance our hedging programs, run portfolio analytics, and run quantitative analysis. We are seeking a highly motivated individual with a strong quantitative background. If you have a strong analytical mind, great attention to details and intellectual curiosity about financial markets/investment ideas, this we encourage you to apply.
We’ve embraced a flexible, hybrid approach to work. Based on your role and personal preference, we empower you to choose where you work best. This model allows you to balance your life and bring your whole self to work.
Specific Responsibilities
- Running the portfolio analytics for fixed income portfolios in Factset. Generate reports for various portfolios.
- Support the maintenance & enhancing of existing hedging programs to constantly improve performance and effectively meet evolving business demands.
- Responsible for the pricing, trading of interest rate swaps, swaptions, and equity derivatives.
- Idea generation; Identify the opportunities in financial markets that improve risk/reward profile for derivatives and general accounts.
- Translate data into presentable insights; Facilitate idea generation with in-depth analysis; Run quantitative analysis (stress testing, Monte Carlo analysis, VaR, derivative analysis, hedging strategies) to help generate/refine investment ideas.
- Generate standard and ad hoc reports that meet requirements and deliver such reports in a timely manner.
Experience Required
- Masters Degree in Math, Statistics or other science and engineering degrees; 1 – 5 years of work experience in financial or quant related industry
- Knowledge of Financial Mathematics with solid understanding of derivative pricing theory and their applications
- Knowledge of volatility, equity and fixed income derivatives; complex structured products, exotic hybrid “basket” options, multivariate, variance swaps, etc
- Excellent communication skill
- Good knowledge of R
- A good understanding of modeling techniques such as: Monte Carlo simulation, sensitivity analysis, historical analysis and risk analytics
- Ability to work in a fast paced high energy environment, ability to work with a team
Preferred
- Interest in the market and investment experience, CFA candidates preferred
Base Salary Range - $85,000- $110,000
Penn Mutual helps people become stronger. Our expertly crafted life insurance is vital to long-term financial health and strengthens people’s ability to enjoy every day. Working with our trusted network of financial professionals, we take the long view, building customized solutions for individuals, their families, and their businesses. We support our financial professionals with retirement and investment services through our wholly owned subsidiary, Hornor, Townsend & Kent, LLC, member FINRA/SIPC.
Penn Mutual is committed to Equal Employment Opportunity (EEO). We provide employment and advancement opportunities to all qualified applicants and associates, according to applicable laws. This is reflected in our practices for hiring, placement, promotion, transfer, demotion, layoff, termination, recruitment, compensation, selection or training, and all other terms and conditions of employment. All employment-related decisions and practices are free from unlawful discrimination. This includes: race, creed, color, national origin, ancestry, citizenship age, gender (including pregnancy), sexual orientation, gender identity or expression, domestic partnership or civil union status, marital status, genetic information, disability, religious observance or practice, liability, veteran status or any other classification protected under applicable law.
