Head of Economic Value Asset Analytics
OVERALL RESPONSIBILITY:
Core to this vision is risk management, risk-adjusted return improvement, and modeling innovation. We are seeking a Head of Economic Value Asset Analytics. He/she will have responsibility for ensuring the timely delivery of the asset data and asset shock results of the investment portfolio on a quarterly basis, and will collaborate with investment and investment risk leaders to provide insightful and actionable recommendations arising from the management of the assets as visible through MassMutual’s enterprise-wide economic value framework. In addition, the role will be responsible for day-to-day oversight of the implementation of the future state of MassMutual’s economic modeling, and regular process improvement and automation of the existing models on the way to the future state.
KEY RELATIONSHIPS:
Reports to: Head of Economic Capital Risk Management, Enterprise Risk Management
Additional Relationships: The position will have considerable interaction with staff of the Chief Investment Officer, MassMutual Technology, Finance, and Enterprise Risk Management, especially ERM’s Investment Risk Management team. The position also works closely with the Manager of Economic Value Analytics. Keys to success in this position will be the ability to work collaboratively with internal customers to understand and deliver useful solutions to their needs, deliver insights on asset allocation derived from a uniquely enterprise-wide view, and solid project management skills.
OVERALL RESPONSIBILITY:
As a leader of ERM’s Economic Value function, your responsibilities will include:
- Manage a team of 2 - 3 financial quants executing on your mission
- Continually speed quarterly asset information production while reducing errors, through innovation: automation through the design and deployment of efficient software implementations; and, process improvements
- Design and implement automated analyses which reveal asset phenomena drivers and recommend potential changes to asset allocation
- Contribute to the design/selection and development of MassMutual’s future state economic value platform
- Lead the day-to-day implementation of MassMutual’s future state economic value platform through close collaboration with MassMutual’s technology team and other affected corporate groups
- Support ERM analysis of limits and regular monitoring, analysis, and reporting of economic risk appetite measures
- Conceive, design, validate, document and implement models in support of your goals, and interact with the Firm’s model risk and audit teams
- Maintain a solid control environment for your unit’s models
- Stay informed on the latest developments in the field of economic value and economic capital
CANDIDATE QUALIFICATIONS:
Requisite skills and experience include:
- 10+ years of relevant work experience in insurance company actuarial and/or financial risk management roles
- Experience working as a financial quant at a bank, asset manager, or insurance company
- Experience managing a team
- Experience modeling different types of asset classes common to insurance companies
- Experience with economic capital modeling
- An undergraduate degree in Mathematics, Financial Engineering, Physics, Engineering or similar quantitative discipline
- Experience coding and implementing financial solutions in a modern computer language
- Familiarity with financial statements and an understanding of the insurance industry
- Well established record of client relationship management
- Strong project management skills
- Success working in a collaborative team environment
- Strong executive level communication and presentation skills
- Ability to work independently and take initiative
- Experience with Microsoft Excel
With a preference for:
- An advanced degree in Mathematics, Financial Engineering, Physics, Engineering or similar quantitative discipline
- Experience coding in Python or R
- Experience using the QRM software platform
- CFA and/or FRM
Location: Boston, MA