Director, Hedging

This is a fully remote position, open to applicants in United States.

📋 Description

• Collaborate with the VP of Hedging Strategy to establish and implement the risk strategy for the derivatives portfolio, ensuring alignment with company objectives. This encompasses contributions to both general account hedging strategies and the hedging of liability options embedded within our products.

• Conduct derivatives trading across a diverse range of instruments, including options, interest rate swaps, bond forwards, cross currency swaps, and credit default swaps, while holding direct responsibility for dealer relationships, trade execution, and adherence to best execution practices.

• Develop and refine macro trade strategies aimed at managing ALM, earnings, capital, and market volatility, while maintaining effective risk coverage and actively working to minimize hedge costs.

• Oversee valuation models, risk analytics, and decision-support tools for derivatives trading, focusing on instruments such as options, swaps, currency, bond forwards, and credit derivatives.

• Lead initiatives to improve system performance, ensuring the accuracy of derivative models and automating processes like pricing and reconciliation.

⛳️ Requirements

• A Bachelor's degree in Computer Science, Finance, Economics, Statistics, Engineering, Mathematics, or a related field is required. A Master's degree in Mathematical Finance or a similar discipline is preferred.

• Proficient in programming, with proven experience in Python, MATLAB, and VBA. Familiarity with relational database systems such as SQL Server is an advantage.

• Over 8 years of hands-on experience in derivatives trading, including options, interest rate swaps, bond forwards, cross currency swaps, and credit default swaps in both OTC and cleared markets, with direct responsibility for trade execution, dealer relationships, and best execution.

• More than 8 years of experience in derivatives modeling and valuation, demonstrating proficiency in quantitative frameworks such as Heston, local volatility, Bates jump diffusion, and Monte Carlo simulation methods, applied to equity, rate, FX, and credit instruments.

• Experience in life and annuity business is required, along with an understanding of statutory (STAT) and GAAP accounting principles.

• CFA/FRM designations are preferred.

🏝️ Benefits

• Flexible work arrangements