Hi, I am the hiring manager. I am looking for a smart person with excellent communication skills and who has a familarirty with a wide range of derivative models from multiple asset classes. Jump Diffusion, Local Vol, Stoc Vol, Stoch Local Vol, LMM, HW2F, SABR, Reduced form/Structural Credit model, Econometric models etc... We are a group of ~20 people who manage the day to day pnl for a large VA portfolio >50bn. The group I currently work in is directly responsible for trading strategies. We work with a number of traders who execute our strategies after careful analysis and CFO sign-off. We also develop risk management algorithms for our internal portfolio managers ( vol control, leveraged ETFs etc..). We have a large book of derivatives in each of the following asset classes Equity/Vol/FI/Credit/FX. The responsibilities of the role and the requirements are listed below. Please PM me if you are interested with an up-to-date resume. The compensation for this role is competitive with NY/London and the work we do is very interesting and challenging. We have a very humble/ unassuming team that can manage to tight deadlines and can rely on each other to solve difficult problems. Our portfolio is growing at approximately 6-8bn per year based on our large scale distribution channel. Responsibilities:? Manage a group responsible for assessing ongoing P&L and risk impact, along with development of risk mitigation strategies for a portfolio of variable annuity products within a CUDA platform? Ensure continued improvement of existing risk strategies/methodologies for the entire hedge program? Identify residual unhedged risk and associated impact on overall portfolio performance ? Design and implement new quantitative models that track and predict risks, identify and initiate development of new hedging strategies to enhance the current variable annuity hedging program.? Serve as the subject matter expert on capital market risks systems and models (equities, FX, credit and fixed income).? Employ sound knowledge of the cross asset derivatives under review (e.g. equity derivatives and futures, interest rate derivatives and futures, mortgage related products, credit index products) in order to effectively produce the required analysis for sign-off and execution. ? Expand asset holdings with a view to hedging more effectively second order risk (gamma,cross-gamma, Volga)? Lead the research and development of specific trading strategies and provide timely and detailed responses to Senior Management and other stakeholders on various aspects of the hedging program methods and results.? Produce high level technical presentations on hedging-effectiveness, Cost benefit, Derivative Pricing, Valuation Methodologies for senior management.Requirements:? 7+ years? market risk, quantitative, and/or actuarial experience required.? Strong understanding of the risk and volatility associated with its living benefits caused by changes in the equity markets, interest rates, and market volatility? Experience with actuarial valuation and/or product development for variable annuities? Proficiency with the numerical and statistical tools needed to develop robust hedging strategies (MySQL, MS SQL Server, Perl, C/C++, MATLAB)? Innovative and analytical thinker with strong communication skills? PhD degree in mathematics, actuarial science, hard sciences, computer science, or related field with current managerial experience required

Potential candidates would most likely be curious about location. Would that be giving too much away?

The role is based in Philadelphia.