Hanover
Quantitative Developer
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Our client is a 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.
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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.
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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 an office-based role. They are unlikely to be able to sponsor work permits.
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