Investment Quantitative Analyst
Where good people build rewarding careers.
Think that working in the insurance field can't be exciting, rewarding and challenging? Think again. You'll help us reinvent protection and retirement to improve customers' lives. We'll help you make an impact with our training and mentoring offerings. Here, you'll have the opportunity to expand and apply your skills in ways you never thought possible. And you'll have fun doing it. Join a company of individuals with hopes, plans and passions, all using and developing our talents for good, at work and in life.
Duties: Will develop quantitative models that inform Allstate's asset and risk allocation decisions; develop value-adding tools to enhance risk and asset allocation processes; use quantitative techniques to forecast returns and risks for traditional asset classes and alternative investment strategies; partner with the Risk Management team to model, understand, and manage the risk in Allstate's investment portfolios; perform modeling and measurement of full range of investment risks, including interest rate, credit, equity, currency, counterparty, and liquidity; communicate model results and findings to the broader organization and to senior management; build and support surveillance tools, valuation models and perform quantitative research in different asset classes including fixed income and equity; partner with the Risk Management team for quantitative credit risk, market risk and private asset risk modeling and monitoring; perform modeling alternative assets, build default and transition forecasts and assist the credit risk team to build and interpret risk reports using Allstate's existing risk systems; oversee market and credit risk models; interact with key stakeholders from Credit Risk, Portfolio Management and Research to build knowledge to identify risk and return drivers, design and run periodic reports and/or models that provides analysis of these drivers; use big data techniques such as machine-learning, neural networks and deep learning to build models and processes to add value to investment processes; conduct research on volatility and correlation forecasting using various statistical and econometric techniques; and interface with asset managers and insurance clients to understand market risks and opportunities; Build and tune optimization models using optimizers such as CPLEX or GUROBI.
Requirements: Master's degree (or higher) in operations research, financial engineering, mathematics, or related field (willing to accept foreign education equivalent) plus three years' experience programming in Matlab, SQL and python in the financial markets, financial modeling, risk management, optimization, statistics and numerical methods, and quantitative investments research domains. Specific skills/other requirements (quantitative experience requirements not applicable to this section) - must have Demonstrated expertise (DE) designing and executing mixed-integer optimizations and finding optimal solutions for problems subject to constraints with optimization engines such as CPLEX or Gurobi; DE applying machine learning techniques such as logistic regression, decision trees and neural networks to build a statistical model based on observations and the ability to predict responses; DE in Statistics & Timeseries analysis: Multivariate Regressions, Hypothesis testing, GARCH models, ARMA models, Cointegration, and Random Variables & Distributions; DE performing Risk and Return analysis of portfolios and financial markets for multi-asset portfolios in global markets; Requires CFA completed or Level III CFA Candidate; experience may be gained in graduate program.
The candidate(s) offered this position will be required to submit to a background investigation, which includes a drug screen.
Good Work. Good Life. Good Hands®.
As a Fortune 100 company and industry leader, we provide a competitive salary - but that's just the beginning. Our Total Rewards package also offers benefits like tuition assistance, medical and dental insurance, as well as a robust pension and 401(k). Plus, you'll have access to a wide variety of programs to help you balance your work and personal life -- including a generous paid time off policy.
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Allstate generally does not sponsor individuals for employment-based visas for this position.
Effective July 1, 2014, under Indiana House Enrolled Act (HEA) 1242, it is against public policy of the State of Indiana and a discriminatory practice for an employer to discriminate against a prospective employee on the basis of status as a veteran by refusing to employ an applicant on the basis that they are a veteran of the armed forces of the United States, a member of the Indiana National Guard or a member of a reserve component.
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