Investment Risk Quantitative Associate III

BASIC FUNCTION:

This position supports the Company's efforts to measure, monitor and manage investment risk. Provides research, development, testing and validation of complex quantitative analytical models used in managing risks across all investment portfolios. Maintains, operates and enhances systems used to provide regular portfolio risk analytics. Supports performance measurement, benchmark development and reporting, and fixed income analytics. With direction from superiors, performs ad hoc analysis and modeling to support strategic portfolio management decisions. Sets strategic direction over a 1-2 year time horizon.

Primary Duties & Responsibilities

* Lead the capital market assumption and economic scenario processes across enterprise initiatives.

o Lead the development of annual capital market assumptions for general account portfolios. Maintain and evolve the CMA framework; ensure fit-for-purpose across key stakeholders; create and publish annual CMA results.

o Lead the development of annual economic scenarios for client planning and wealth management applications. Maintain and evolve the scenario framework; ensure fit-for-purpose across key stakeholders; create and publish annual scenario results.

* Lead the execution of investment risk model development

o Research, develop, validate and maintain the complex quantitative financial models comprising:

o the surplus stress test model

o quant models for commercial mortgage loans scenario models (CoStar, Trepp)

o quant models for structured asset classes (Intex, Trepp)

o Aladdin Risk quant models (VaR, Credit VaR, default probability)

o Credit Benchmark data to measure and monitor portfolio-wide credit risk

o Research and implement emerging risk mitigation techniques, risk measurement tools, risk modeling methodologies

* Perform and support investment risk analysis, including:

o Aggregation of investment activities across departments for exposure, risk characteristics, and relative value analysis

o Risk/return characteristics and diversification benefits of new investment types considering risk/return trade-off and diversification benefits compared to current investment opportunities

o Developing of minimum required spreads for risks including liquidity, sovereign, and credit by sector

o Performing stress test of the portfolio for market, credit, and liquidity risks while considering an interaction with insurance liabilities, regulatory, and rating agency requirements

o Evaluating the impact of changing investment limits and strategies

o Lead the development and implementation of new or enhanced investment risk management techniques, analysis and procedures

o Represent Investment Risk Management in cross-departmental efforts

o Present summary reports to leaders throughout the Company, including the Investment Committee and the Chief Investment Officer

* Derivatives valuation and modeling

o Represents Investment Risk Management's interests in derivative system development and enhancements, and in implementing new derivative strategies

o Helps to develop complex models to monitor derivative strategy and portfolio-wide stress testing for structured securities including OTC derivatives

o Keeps abreast of theoretical quantitative advancements in interest rate and volatility models

* Performance and benchmark analysis

o Aggregates total benchmark risk characteristics

o Compares investment activities across departments for relative value analysis

o Measures, monitors, and reports on out-of-benchmark positions

o Determines appropriate ranges for various investment exposures based on diversification and risk/reward characteristics

Qualifications

Minimum Requirements: Please check all that apply for associated persons of Northwestern Mutual Investment Services, LLC ("NMIS") or Northwestern Mutual Wealth Management Company ("WMC"): NMIS Non-Registered Fingerprinted (NRF) NMIS Investment Company Products and Variable Contracts Limited Representative (FINRA Series 6) NMIS General Securities Representative (FINRA Series 7) NMIS Investment Company Products and Variable Contracts Limited Principal (FINRA Series 26) NMIS General Securities Principal (FINRA Series 24) NMIS Access Person (NMIS Registered Investment Advisor) WMC Access Person (WMC Registered Investment Advisor)

* MBA or Masters Degree in quantitative finance, financial mathematics, economics or other quantitative field

* Bachelors degree with a Chartered Financial Analyst (CFA) designation or other related professional designation (ex. FSA, CPA, FRM, etc.)

* 3-6 years of experience in investment risk management, portfolio management or related fields

* Strong competencies in finance and advanced mathematics, including stochastic calculus and probability and statistics; requires proven technical aptitude.

* Broad working knowledge with regard to valuation and terminology of derivatives and other investment types (including fixed income, equity, and real estate)

* Working knowledge of cross-departmental risk management issues, such as asset-liability management, economic capital, corporate stress testing

* High degree of personal initiative, demonstrated ability to work independently, excellent follow-through ability and sense of personal accountability

* Ability to deal effectively and professionally with people at all levels

#LI-Hybrid

Compensation Range:

Pay Range - End:

We believe in fairness and transparency. It's why we share the salary range for most of our roles. However, final salaries are based on a number of factors, including the skills and experience of the candidate; the current market; location of the candidate; and other factors uncovered in the hiring process. The standard pay structure is listed but if you're living in California, New York City or other eligible location, geographic specific pay structures, compensation and benefits could be applicable, click here to learn more.

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Northwestern Mutual is an equal opportunity employer who welcomes and encourages diversity in the workforce. We are committed to creating and maintaining an environment in which each employee can contribute creative ideas, seek challenges, assume leadership and continue to focus on meeting and exceeding business and personal objectives.

We're excited about the potential people bring to Northwestern Mutual. You can grow your career here while enjoying first-class perks, benefits, and our commitment to a culture of belonging.

• Flexible work schedules
• Concierge service
• Comprehensive benefits
• Employee resource groups