[Hiring] PGIM Multi-Asset Solutions – Vice President, Asset Analytics @083 PGIM Multi-Asset Solutions LLC
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Role Description
Reporting to the Head of Portfolio Analytics, the VP will have primary responsibility for developing economic models, capital market assumptions, scenario generation, and asset modeling that feed ALM analysis and portfolio construction for PGIM Multi Asset Solutions (PMA) clients.
• Develop and refine deal-specific economic assumptions for portfolios of ABF, RML, CML, MML and Mezzanine loans
• Build valuation models, or configure 3rd party functionality, for bespoke assets and derivative hedges
• Build dynamical models for spreads and losses associated with public and private assets
• Calibrate vols and correlations within these dynamical models to historical data
• Devise mapping methodologies to leverage public market data for bespoke asset modeling
• Develop portfolio optimization models incorporating the impact of regulatory capital charges
• Investigate what drives key model outputs like the shape of efficient frontiers and composition of optimal portfolios
• Work with asset specialists to analyze historical loss data for private and structured assets
• Explain model outputs to other quants, portfolio managers, client specialists, and business leaders
• Build attribution models for breaking down portfolio or liability value changes in terms of various risk factors
• Lead junior colleagues on time-critical projects for PMA clients
Qualifications
• PhD or Master’s in a quantitative field; especially interested in candidates who have completed (or made substantial progress toward) a PhD in Economics or Finance
• 5-10+ years’ experience in a quant role within banking, asset management, or insurance
• Experience with structured products, ABF, and other bespoke private assets
• Solid programming background, with a Python emphasis (pandas, numpy, scipy, etc.)
• Reliable knowledge of core quant finance topics: probability theory, canonical stochastic models, fixed income modeling and securitization, options theory, optimization techniques, etc.
• Practitioner’s understanding of why these models were originally defined, how they are actually applied, what their limitations are, and how they could be enhanced or generalized according to business needs
Requirements
• Technical mastery, experience with bespoke assets, leadership and communication skills, and experience managing quants
• Familiarity with different insurance regulatory regimes, especially Bermuda
Benefits
• Market competitive base salaries, with a yearly bonus potential at every level
• Medical, dental, vision, life insurance, disability insurance, Paid Time Off (PTO), and leave of absences, such as parental and military leave
• 401(k) plan with company match (up to 4%)
• Company-funded pension plan
• Wellness Programs including up to $1,600 a year for reimbursement of items purchased to support personal wellbeing needs
• Work/Life Resources to help support topics such as parenting, housing, senior care, finances, pets, legal matters, education, emotional and mental health, and career development
• Education Benefit to help finance traditional college enrollment toward obtaining an approved degree and many accredited certificate programs
• Employee Stock Purchase Plan: Shares can be purchased at 85% of the lower of two prices (Beginning or End of the purchase period), after one year of service
• Eligibility to participate in a discretionary annual incentive program is subject to the rules governing the program, whereby an award, if any, depends on various factors including, without limitation, individual and organizational performance
Apply Now
Apply Now
Role Description
Reporting to the Head of Portfolio Analytics, the VP will have primary responsibility for developing economic models, capital market assumptions, scenario generation, and asset modeling that feed ALM analysis and portfolio construction for PGIM Multi Asset Solutions (PMA) clients.
• Develop and refine deal-specific economic assumptions for portfolios of ABF, RML, CML, MML and Mezzanine loans
• Build valuation models, or configure 3rd party functionality, for bespoke assets and derivative hedges
• Build dynamical models for spreads and losses associated with public and private assets
• Calibrate vols and correlations within these dynamical models to historical data
• Devise mapping methodologies to leverage public market data for bespoke asset modeling
• Develop portfolio optimization models incorporating the impact of regulatory capital charges
• Investigate what drives key model outputs like the shape of efficient frontiers and composition of optimal portfolios
• Work with asset specialists to analyze historical loss data for private and structured assets
• Explain model outputs to other quants, portfolio managers, client specialists, and business leaders
• Build attribution models for breaking down portfolio or liability value changes in terms of various risk factors
• Lead junior colleagues on time-critical projects for PMA clients
Qualifications
• PhD or Master’s in a quantitative field; especially interested in candidates who have completed (or made substantial progress toward) a PhD in Economics or Finance
• 5-10+ years’ experience in a quant role within banking, asset management, or insurance
• Experience with structured products, ABF, and other bespoke private assets
• Solid programming background, with a Python emphasis (pandas, numpy, scipy, etc.)
• Reliable knowledge of core quant finance topics: probability theory, canonical stochastic models, fixed income modeling and securitization, options theory, optimization techniques, etc.
• Practitioner’s understanding of why these models were originally defined, how they are actually applied, what their limitations are, and how they could be enhanced or generalized according to business needs
Requirements
• Technical mastery, experience with bespoke assets, leadership and communication skills, and experience managing quants
• Familiarity with different insurance regulatory regimes, especially Bermuda
Benefits
• Market competitive base salaries, with a yearly bonus potential at every level
• Medical, dental, vision, life insurance, disability insurance, Paid Time Off (PTO), and leave of absences, such as parental and military leave
• 401(k) plan with company match (up to 4%)
• Company-funded pension plan
• Wellness Programs including up to $1,600 a year for reimbursement of items purchased to support personal wellbeing needs
• Work/Life Resources to help support topics such as parenting, housing, senior care, finances, pets, legal matters, education, emotional and mental health, and career development
• Education Benefit to help finance traditional college enrollment toward obtaining an approved degree and many accredited certificate programs
• Employee Stock Purchase Plan: Shares can be purchased at 85% of the lower of two prices (Beginning or End of the purchase period), after one year of service
• Eligibility to participate in a discretionary annual incentive program is subject to the rules governing the program, whereby an award, if any, depends on various factors including, without limitation, individual and organizational performance
Apply Now
Apply Now