Investment Risk Analyst

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About this job:

Responsible for the timely delivery of the various Risk Management services primarily related to Investment Risk and Analytics, based in Stamford, CT.

Reporting to: Head Market Risk Management

Primary Responsibilities:

• Develop, monitor and report on investment risk metrics around the investment portfolio.
• Responsible for internal and external reporting on invested assets including capital & risk metrics by asset class and risk type, such as scorecards, scenarios, and sensitivities evolution.
• Lead quarterly asset risk and capital modeling (stochastic and formula based) processes.
• Conduct quarterly and annual liquidity stress tests and leverage the analysis to optimize asset allocation subject to local regulatory constraints.
• Conduct peer reviews of private invested asset valuations, including performing comparable and cash flow analysis as well as sensitivity testing.
• Support the calibration of deterministic economic and financial market stress for internal and external consumption (covering both assets and correlated lines of reinsurance).
• Support Head of Market Risk Management to strengthen governance around investment activities by maintaining and refining Group, legal entity and portfolio level (risk tolerance) guidelines as well as the broader Enterprise Risk Management framework.
• Prepare 5 year asset allocation and income projection based on the investment plan for ORSA model.
• Conduct ESG Investment reporting utilizing Institutional Shareholder Services (ISS) to calculate GHG exposures, VaR, and other metrics related to ESG
• Support analysis and reporting on yield, duration and convexity of fixed income securities and betas of equity holdings.
  
  

About you:

Skills & Experience:

• Master’s degree in finance, actuarial, mathematics, statistics or related discipline
• At least 2 to 3 years of experience in investment risk analytics and reporting
• Strong knowledge of multiple asset classes (bonds, equities, funds, alternative investments) and their risk profiles
• Strong knowledge of asset scenario analysis, stress testing and stochastic modeling
• Basic understanding of reinsurance concepts and statutory requirements (e.g., Solvency II) a plus
• Strong working experience with Bloomberg and good coding skills (preferably R)
• Great attention to details, strong work ethic and commitment to meeting deadlines.
  
  

PartnerRe provides a working environment in which diversity is valued, where all employees feel welcome, respected, and empowered to perform at their best. We invite you to learn more about D&I at PartnerRe.

Thank you,

PartnerRe Hiring Team