The AVP, Market Risk and ALM role is part of our growing Investment Risk team under the Enterprise Risk Management function. In this capacity, you will play a pivotal role in safeguarding our company's financial health and ensuring the successful implementation of our risk management strategies. Your range of responsibilities include evaluating and monitoring the performance of our hedging programs across various asset classes, building, and implementing quantitative models for market risk analysis, and ensuring adherence to ALM guidelines while providing innovative solutions. This position reports to the Vice President, Investments Risk Officer. This role will be based in our Jersey City, NJ on a hybrid basis.

What You Will Do: 

• Lead the advancement of methodology and implementation of Fortitude Re's market risk analytics and reporting, ensuring that reports are insightful, transparent, and effectively communicate risks to stakeholders.

• Analyze and assess the impact of market risks on both the asset side and insurance liabilities, including interest rate risk, spread risk, equity risk, and liquidity risk.

• Collaborate with the Capital Market Hedging team to proactively identify and analyze potential market risk exposures, as well as contribute to the development and implementation of robust mitigating strategies.

• Analyze and evaluate the effectiveness of existing and proposed hedging programs (e.g., Variable Annuity, Interest Rate, New Business Market Risk, FX, and basis risk) from both quantitative modeling and operational perspectives, recommending strategies to optimize market risk mitigation and enhance portfolio performance.

• Identify issues, gaps, and research solutions as related to asset liability management practice, with a focus on optimizing risk management for firm’s specific insurance liabilities.

• Stay abreast of evolving regulatory requirements and industry best practices in market risk and ALM, leveraging knowledge to enhance Fortitude Re's risk management strategies and framework.

• Collaborate effectively with other departments across the organization, including investments, finance, treasury, and actuarial, to promote a comprehensive and integrated approach to risk management.

• Maintain a deep understanding of insurance liability dynamics and their impact on the company's risk profile.

What You Will Have: 

• Bachelor’s degree in Finance, Mathematics, Statistics, Actuarial Science, or a related quantitative field required. A graduate degree in a related, quantitative discipline is preferred.

• Minimum of 7 years of experience in market risk management, asset-liability management, or a related field, with a demonstrated understanding of the complexity in insurance liability.

• Strong quantitative and modeling skills, including experience with industry-standard risk management software and both market risk and insurance liability models.

• Associate or Fellowship in the Society of Actuaries (ASA/FSA) or a similar professional designation like CFA and/or FRM is a plus.

• Advanced proficiency in Excel, PowerPoint, and Database management tools (SQL, Power BI, etc.).

• Demonstrated proficiency to code in at least 1 language (C, python, R, MATLAB, etc.) is desired.

• Demonstrated knowledge and understanding of various financial models (interest rate, volatility, equity, etc.) is desired.

• Deep knowledge of fixed income asset classes regarding their risk profiles is preferred.

• Excellent communication, interpersonal, and presentation skills.

• Proven ability to work independently and within a team environment.

• High attention to detail and highly organized with strong follow-through skills.

• Fast learner and adaptable to a fast-paced environment.