Our client is an multi-strategy alternative asset manager in the reinsurance and capital markets space. They are looking for an academically strong quant developer with a masters+ level in maths/physics/theoretical physics/engineering field. They have a number of people in London and Bermuda.
Your manager has a PhD and would work with you on projects such as the following:
- Design a computational model applying reinsurance layers to a set of simulation files, taking into account ILWs, reinstatements, and adjustments that will want to flow through the whole programme.
- Given a non-uniform pattern of business being written through the year, a distribution of policy inception dates, earning profiles and settlement lags, derive the discounted cashflow curves.
- Model premium receipts, collateral funding, trapped collateral, claim payments, investment income, release mechanics and timing uncertainty. Then calculate expected return and sensitivity to loss timing.
- Take apart Neil Bodoff's paper on capital allocation and generalise it to apply to profit distributions. Take a view on it as compared to alternative capital allocation approaches.
- Write a review of risk measures and which we should adopt in the context of capital platforms.
- Review portfolio optimisation algorithms and make a proposal for the one that is most effective for various capital platforms.
- Review modern infrastructure as code, within the context of Azure and suggest how they can best use it in the implementation of dev, UAT and prod environments.
We are optimising for a mathematically strong candidate. Development/coding experience is great, although that can largely be AI-assisted these days. Understanding the mathematics is very important for them and that is much more difficult. Reinsurance experience is not essential and they would be open to hiring a top notch PhD although some business experience (especially quant finance/reinsurance/capital markets) would be ideal.
Please note this role will NOT lead to quant trading; if that's where your real interest is, this is not for you. This is predominantly on office-based role. They are unlikely to be able to sponsor work permits.
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