Director-Asset Modeling-Hartford, CT-Hybrid

Talcott Financial Group* is an international life insurance group and the industry’s trusted partner for comprehensive risk solutions. Talcott creatively designs and expertly delivers responsive solutions that transfer risk and manage capital in a way that supports the strategic needs of insurers today and into the future.
Talcott Financial Group has a proven track record of well-executed transactions, and the enterprise benefits from its strong financial position with over $127 billion in assets under management, its investment-grade financial strength ratings, and its partnership with Sixth Street, a leading global investment firm.
Talcott Financial Group’s two core business platforms include: U.S. based Talcott Resolution and Bermuda and Cayman based Talcott Re.


Director-Asset Modeling

Hartford, CT (Hybrid)

Overview:
The recently centralized asset modeling team is tasked with oversight of the company’s entire general account portfolio including configuration, validation, valuation, and financial projection of fixed income and derivatives supporting the company’s financial statements, regulatory filings, internal short & long-term projections, stress testing, and M&A activity.

Fixed income is modeled using GGY AXIS or Kamakura Risk Manager (KRM) software depending on the purpose. Coverage includes corporates, municipals, treasuries, asset-backed, mortgage-backed, securitized assets, private financing, alternatives, and other bespoke asset classes.

Derivatives are modeled using an internal system built atop the QuantLib quantitative financial modeling library. Coverage includes vanilla and exotic variations of futures, forwards, options, swaps, swaptions.

As the company seeks to expand into the international retail space, expectations are both fixed income and derivatives coverage will need to expand to support new foreign markets with local currency products such as treasuries, corporates, and FX related derivatives.

The team regularly interacts with investments, trading, ALM, finance, and accounting teams in addition to the liability counterparts in the actuarial department.


Responsibilities:
This position will report to the Director of Finance and Risk Models in the Actuarial department with more specific responsibilities including:
• Configuration and execution of financial projection ALM models including asset holdings, scenario creation, and reinvestment strategy development.
• Development of forward-looking financial statements and risk appetite monitoring through horizon forecasting under various stress tests and assess associated impacts on Statutory/GAAP/fair value/Bermuda metrics.
• Evaluation of more optimal or capital-efficient ALM or derivative strategies.
• Provide support for daily derivative valuation and reporting including:
◦ Internal customers for P&L attribution and greek coverage.
◦ External customers for collateral management and accounting.
• Leverage the derivative platform to respond to ad-hoc market data requests, pricing exercises, stress testing, and replication efforts.
• Derivative platform new development and enhancements involving market data, instruments, and reporting in support of retail initiatives.


Qualifications:
• Bachelor's degree or higher in mathematics, statistics, actuarial science or related field
• ASA/FSA/CFA designation preferred but not required
• 5-10+ years of insurance or finance experience, with prior asset modeling experience a plus
• Strong Mathematical and analytical skills coupled with knowledge on fixed income asset classes, pricing models, complex derivatives, and numerical derivatives pricing techniques
• Proficiency with spreadsheet and database applications, including the ability to automate tasks using VBA/SQL
• Familiarity with Python programming language, general coding best practices, and GitHub version control
• Familiarity with AXIS, KRM, or other actuarial modeling software is desirable
• Ability to perform ad hoc analysis under binding time constraints, the desire to take pride in and ownership of work products and presentations, intellectual curiosity, excellent communication skills, and the willingness to “do what it takes” to meet critical objectives


*Talcott Financial Group is an equal employment and affirmative action employer. All qualified applicants will receive consideration without regard to race, color, sex, religion, age, national origin, disability, veteran status, sexual orientation, gender identity or expression, marital status, ancestry or citizenship status, genetic information, pregnancy status or any other characteristic protected by law. Talcott Resolution maintains a drug-free workplace and is committed to building inclusion and leveraging diversity. For more information regarding our Privacy Policy, please go to https://talcott.com/onlineprivacypolicy/onlineprivacypolicy.html