IT & Digital
MPA is working alongside a successful IT Firm to find a Quantitative Analyst to be part of their Modelling and Analytics team within their facility in the Northwest of Ireland.
The position will support work which includes daily liability valuation of the hedged liability, capital projections, and refinement of an enterprise-wide capital framework.
Develop and maintain valuation and projection capabilities in support of ALM and risk management of insurance products
Benchmark performance and testing of new releases of asset and liability models
Support research and implementation of interest rate, equity, credit, foreign exchange, and inflation models used in the valuation of domestic and international products and ESG solutions across the company
Support analysis and research related to the implementation of hedging strategies
Responsibilities may include the following:
Implementation of C++ payoffs and features within asset and liability models
Expose various C++ modules into a Python-based interactive framework for modeling and back-testing
Performance benchmark testing on new releases on various hardware architectures including cloud-based CPU grids and GPU platforms
Develop and maintain Python-based regression testing modules for new features and into continuous build and integration framework (which utilises Jenkins)
Support research and implementation of interest rate, equity, credit, foreign exchange, and inflation models used in the valuation of domestic and international products and ESG solutions across the company. This would involve historical back-testing and comparison with alternative models
Perform back-testing on various ALM analyses in support of capital, liquidity and asset allocation strategies.
Research and integrate machine learning methodologies using Google TensorFlow or similar tools to enhance and accelerate in-house analytics
Qualifications, Skills & Experience:
Bachelors or above Degree in Math, Sciences or Engineering
Strong coding skills in Python required, C++ and CODA desirable
Strong analytical skills
Capable of working independently
Familiarity with financial mathematics and derivatives desirable
Familiarity with insurance products is desirable
This position requires an individual with the ability to work in a dynamic, fast-paced environment
Ability to work remotely with teams in other locations and time zones as well as receiving actuarial support and guidance locally in Ireland
I am keen to have an initial discussion with anyone who feels this could potentially be of interest. Please contact Andrew McSparran, at MPA Recruitment on +44 (0)28 7035 7035 or send an up to date CV via the link provided to speak further about this opportunity.
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