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.

• Lead the capital market assumption and economic scenario processes across enterprise initiatives.
  • 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.
  • 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.
  • Research, develop, validate and maintain the complex quantitative financial models comprising:
    • the surplus stress test model
    • quant models for commercial mortgage loans scenario models (CoStar, Trepp)
    • quant models for structured asset classes (Intex, Trepp)
    • Aladdin Risk quant models (VaR, Credit VaR, default probability)
    • Credit Benchmark data to measure and monitor portfolio‑wide credit risk
    • Research and implement emerging risk mitigation techniques, risk measurement tools, risk modeling methodologies
• Perform and support investment risk analysis, including:
  • Aggregation of investment activities across departments for exposure, risk characteristics, and relative value analysis
  • Risk/return characteristics and diversification benefits of new investment types considering risk/return trade‑off and diversification benefits compared to current investment opportunities
  • Developing of minimum required spreads for risks including liquidity, sovereign, and credit by sector
  • Performing stress test of the portfolio for market, credit, and liquidity risks while considering an interaction with insurance liabilities, regulatory, and rating agency requirements
  • Evaluating the impact of changing investment limits and strategies
  • Lead the development and implementation of new or enhanced investment risk management techniques, analysis and procedures
  • Represent Investment Risk Management in cross‑departmental efforts
  • Present summary reports to leaders throughout the Company, including the Investment Committee and the Chief Investment Officer
• Derivatives valuation and modeling.
  • Represents Investment Risk Management’s interests in derivative system development and enhancements, and in implementing new derivative strategies
  • Helps to develop complex models to monitor derivative strategy and portfolio‑wide stress testing for structured securities including OTC derivatives
  • Keeps abreast of theoretical quantitative advancements in interest rate and volatility models
• Performance and benchmark analysis.
  • Aggregates total benchmark risk characteristics
  • Compares investment activities across departments for relative value analysis
  • Measures, monitors, and reports on out‑of‑benchmark positions
  • Determines appropriate ranges for various investment exposures based on diversification and risk/reward characteristics

• Minimum requirements 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…