AVP – Investment Analytics

The AVP, Investment Analytics is responsible for developing and maintaining modeling to support Fortitude Re’s investment plan, based on its strategic asset allocation, asset modeling, and ALM framework. This role plays an essential role in the pricing and due diligence of new business acquisitions and delivers analytics and critical assumptions to enable ALM, liability valuation, and regulatory reporting post-acquisition. Ensures the delivery of analytics and critical assumptions that enable ALM, liability valuation, and regulatory reporting post-acquisition, meet data quality standards.

What You Will Do:

• Develop, maintain and run various models, such as Factset, Aladdin, and other proprietary asset models.
• Develop analytics to monitor ALM strategy performance and risk and scale hedging/portfolio rebalancing workflow; standardize communication to Executive Committee, the Board of Directors, regulators, and other key stakeholders.
• Develop analytics to scale portfolio relative value and tactically asset allocation analysis.
• Develop analytics to support investment strategy, including standardizing and scaling new business pricing.
• Develop processes to standardize data feed into ALM analytics and validate data quality, coordinate discussion with data vendors, asset managers, and internal team.
• Develop model-driven investment processes for regular new business cash flows.
• Develop APIs to provide key ALM data to capital management, pricing, and in-force management teams.
• Deliver capabilities needed for portfolio managers to implement asset/liability management and asset allocation strategies on a daily basis.
• Ensure that the modeling processes are robust, efficient, and scalable, and that they adhere to the financial controls and best practices of the organization
• Perform quantitative research on private credit transaction data and develop liquidity premium risk and return models.
• Build and maintain structured product models spanning public and private securities (e.g., ABF, CLOs, rated funds, RMBS, CMBS).
• Research: Stay abreast of the latest developments and trends in the fixed income market and incorporate them into the models as appropriate.
• Collaboration: Work with the actuarial and accounting teams to ensure that the models comply with the regulatory requirements and standards of the insurance industry.

What You Will Have:

• Bachelor's degree
• CFA of FSA preferred
• 7+ years of experience in investments analytics, portfolio management, or other investments function
• Strong analytical capabilities.
• Knowledge of Fixed Income model as it relates to Analytics and Cashflows
• Highly proficient knowledge with SQL, R, Python, or other programming languages.
• Knowledge of Bloomberg and advanced Excel skills is required.
• Proficiency using leading software vendors for financial data and fixed income modeling, including Bloomberg, Factset, Aladdin, Intex, Trepp, and others.
• Experience working at a (re)insurer is a plus.
• Prior experience with private credit, structure credit, esoteric asset classes, and whole loans is a plus.
• Proven expertise in building processes to clean, validate, and analyze large data sets.
• Very strong written, verbal and interpersonal communications skills to clearly articulate sophisticated concepts, ideas and processes.
• Presence and credibility to present effectively to key senior management.
• Ability to direct and lead other members of the team
• Ability to work across functional groups to bring teams together and accomplish project goals and objectives.