AVP, Market Risk & ALM and Hedging

Position Summary

The AVP, Market Risk and ALM and Hedging role is part of the growing Market Risk team under the Enterprise Risk Management function at Fortitude Re. In this capacity, you will support the safeguarding of the company’s financial health and ensure the successful implementation of risk management strategies. Your key responsibilities include overseeing the risk management of hedging programs, evaluating and monitoring their performance, building quantitative risk and valuation models across asset classes, and ensuring adherence to ALM and hedging guidelines while working with internal stakeholders to support balance‑sheet optimization.

The role reports to the Senior Vice President, Head of Market Risk and Chief Risk Officer of the FLIAC legal entity. It is an individual contributor position with no direct reports.

• Lead the advancement of methodology and implementation of Fortitude Re’s market risk analytics and reporting, ensuring that proper information is captured within risk reports to support effective risk management and oversight across ALM and Hedging programs.
• 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. Communicate observations and insights with internal stakeholders to support better balance‑sheet risk decisions.
• Collaborate closely with the Hedging and Trading team on day‑to‑day risk management across the derivatives book and balance‑sheet assets and liabilities. Proactively identify and analyze potential market‑risk exposures and contribute to the development and implementation of robust hedging strategies.
• Analyze and evaluate the effectiveness of existing and proposed hedging programs (e.g., Equity, Interest Rate, New Business Market Risk, FX, and Fund Basis risk) from quantitative modeling and operational perspectives, recommending strategies to optimize market‑risk mitigation and enhance portfolio performance and PnL.
• Identify issues, gaps, and research solutions related to asset‑liability management practice, focusing on optimizing risk management for the firm’s balance sheet with specific insurance liabilities.
• Stay abreast of evolving regulatory requirements and industry best practices in Market Risk management, hedging strategies and ALM, leveraging knowledge to enhance Fortitude Re’s existing risk‑management strategies and framework.
• Collaborate with Investments, Actuarial, Finance, Capital Management, and Treasury to strengthen asset‑liability management, liquidity, and hedging risk‑management frameworks for both in‑force portfolios and new business initiatives.
• Maintain a deep understanding of insurance liability dynamics and their impact on the company’s risk profile, including liabilities of new reinsurance deals.
• Monitor compliance with applicable regulatory frameworks (e.g., NAIC, BMA, RBC, or equivalent) and rating‑agency expectations related to ALM, Hedging and Liquidity risks.
• Support internal audits, regulatory examinations, and external reviews related to portfolio risk management.
• Promote a collaborative, accountable, and high‑performance team culture aligned with organizational objectives.

• Graduate degree in Financial Engineering, Quantitative Finance, Actuarial Science, or related discipline with strong quantitative finance aptitude.
• Minimum 7–12+ years of experience in market risk management, asset‑liability management, and hedging or trading risk management, with a demonstrated understanding of complexities in insurance liabilities.
• Demonstrated experience leading risk professionals or complex cross‑functional initiatives.
• Strong quantitative and modeling expertise in derivatives, including experience with interest‑rate, equity, credit, volatility, correlation and portfolio models.
• Strong quantitative and modeling skills, including experience with industry‑standard risk‑management software and both market‑risk and insurance liability models.
• Strong understanding of life and annuity insurance liability characteristics and asset‑liability management principles.
• Familiarity with reinsurance industry,…