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Quantitative Analyst / Derivatives Specialist

New York Life Insurance Company (“New York Life” or “the company”) is the largest mutual life insurance company in the United States*. Founded in 1845, New York Life is headquartered in New York City, maintains offices in all fifty states, and owns Seguros Monterrey New York Life in Mexico.

 

New York Life is one of the most financially strong and highly capitalized insurers in the business. The company reported 2016 operating earnings of $1.954 billion. Total assets under management at year end 2016, with affiliates, totaled $538 billion.  As of year-end 2016, New York Life’s surplus was $23.336 billion**.  New York Life holds the highest possible financial strength ratings currently awarded to any life insurer from all four of the major ratings agencies: A.M. Best, A++; Fitch AAA; Moody’s Aaa; Standard & Poor’s AA+. (Source: Individual Third Party Ratings Report as of 8/17/16).

 

Financial strength, integrity and humanity—the values upon which New York Life was founded—have guided the company’s decisions and actions for over 170 years.

 

 

Quantitative analyst with 5+ years experience in derivatives financial management, preferably within an insurance company. Position requires strong understanding of derivatives analytics, good oral and written communication skills, general familiarity with accounting standards and demonstrated experience as a programmer / systems analyst.

 

 

Derivatives Valuation Oversight

  • Gain through grounding in the derivatives valuation methods Blackrock uses in Aladdin all modules (AnSer, Portfolio Risk Tools, Deco)
  • Oversee and execute monthly derivatives attribution reporting
  • Assure valuations used for corporate financial and risk reporting are accurate

 

Derivatives Projection System Model Development

  • Support the model architect of proprietary derivatives projection system with directed enhancements to the system.
  • Assist in managing offshore developers who enhance and document the tool

 

Hedge Program Origination

  • Translate business return objectives and risk constraints into actionable derivatives hedge strategy proposals
  • Collaborate with finance, accounting, tax, legal and operations to develop and, upon approval, implement new hedge programs.

 

Hedge Program Management

  • Assume primary responsibility for monitoring and managing certain hedge programs.
  • Communicate program performance with stakeholders
  • Direct trade execution

 

Derivatives Middle Office

  • Work with controllers to produce quarterly investment committee materials related to derivatives. 
  • Produce projections of derivative cashflows and market values to support stochastic scenario analysis.
  • Guide operations group to resolve payment and collateral valuation discrepancies
  • Assist in quarterly Derivatives Use Plan hedge effectiveness review

 

SF: LI-KV1

 

 

EOE M/F/D/V

 

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*Based on revenue as reported by “Fortune 500, ranked within Industries, Insurance: Life, Health (Mutual),” Fortune Magazine, June 17, 2016.  See http://fortune.com/fortune500/  for methodology.

**Total surplus, which includes the Asset Valuation Reserve, is one of the key indicators of the company’s long-term financial strength and stability and is presented on a consolidated basis of the company.

 

1. Operating earnings is the key measure use by management to track Company’s profitability from ongoing operations and underlying profitability of the business. This indicator is based on generally accepted accounting principles in the US (GAAP), with certain adjustments Company believes to be appropriate as a measurement approach (non GAAP), primarily the removal of gains or losses on investments and related adjustments.

 

2. Assets under management represent Consolidated Domestic and International insurance Company Statutory assets (cash and invested assets and separate account assets) and third party assets principally managed by New York Life Investment management Holdings LLC, a wholly owned subsidiary of New York Life Insurance Company.