Job Summary
The AVP, Quantitative & Hedging Strategy is responsible for owning and leading the development and enhancement of advanced quantitative models to assess risk in the derivatives portfolio and guide F&G’s derivatives trading activities. This position will collaborate closely with the VP, Hedging Strategy, the Director, Quantitative Analytics, and other Traders and Quantitative Analysts to design and implement asset and liability hedging strategies, modelling capabilities and other analytical competences aligned with the company’s strategic objectives. This position will also be responsible for leading and managing efforts to enhance the in-house derivative valuation system in collaboration with the Quantitative Analytics team and IT to ensure it can support the company’s growth and increased complexity.
The role reports directly to the VP, Hedging Strategy, and works collaboratively with senior stakeholders across information technology, investments, product and financial actuaries, and the broader risk team.
Duties and Responsibilities
General Hedging Program Leadership
- Partner with the VP, Hedging Strategy in defining the risk strategy for the derivatives portfolio, aligned with company objectives. This includes developing both general account hedging strategies as well as hedging the liability options embedded in our products.
- Own advanced valuation models, risk analytics, and decision-support tools for derivatives trading.
- Lead macro trade strategy ideation designed to manage ALM, earnings, capital and market volatility while maintaining effective risk coverage and reducing hedge costs.
- Oversee systems and processes related to derivative portfolio analytics, with a focus on complex instruments such as options, swaps, currency, bond forwards, and swaptions.
- Drive initiatives to enhance system performance, ensuring the accuracy of derivative models and automating processes like pricing and reconciliation.
- Quickly learn the proprietary, in-house valuation system, leading efforts to enhance its scalability, performance, and model integration.
- Collaborate with IT, the Director, Quantitative Analytics, and other Quantitative Analysts to ensure the system aligns with future business needs, applying best practices in architecture and system design.
Model Development and Analysis
- Lead the research and development of complex derivative pricing methodologies and estimate parameters for pricing models, with a focus on sophisticated derivative structures such as exotic options (e.g., Cliquets), bond forwards, interest rate swaps, currency and swaptions.
- Take ownership of the derivative pricing models using advanced frameworks such as Bates jump diffusion models, Heston models, local volatility models, and Monte Carlo simulations for enhanced pricing accuracy and risk assessment.
- Oversee model validation and performance testing, providing strategic insights for continuous model refinement.
- Provide leadership in supporting actuarial teams by delivering detailed analytics, such as option cost projections and budget analysis for new annuity products.
- Propose hedging strategies for liability hedging of Fixed Indexed Annuities (FIA), Indexed Universal Life (IUL), and Registered Index-Linked Annuities (RILA), as well as general account ALM and macro hedging strategies.
- Monitor and compare model valuations daily, generating reports to ensure consistency and performance.
Derivative Valuation System Ownership
- Lead the ongoing development, enhancement, and maintenance of the custom, in-house derivatives valuation system, updating it for new products and pricing models as required.
- Design and extend the system infrastructure to accommodate future model developments, ensuring it scales with the company’s growth and evolving needs.
- Drive improvements in code efficiency and deliver innovative solutions for evolving business needs, including product changes.
- Generate ad-hoc reports using SQL and other data tools to support derivative trading decisions and risk management.
- Oversee the development and automation of key processes such as pricing sheets, reconciliation workflows, and reporting, driving operational efficiency
Additional Responsibilities
- Take ownership of strategic initiatives in partnership with actuarial, finance, investments, and risk to support asset-liability management (ALM), liquidity risk measurement, and overall portfolio management.
- Lead responses to regulatory and internal risk management requirements, ensuring compliance and effective risk oversight of pricing models.
- Propose strategic trades, including macro-level transactions, leveraging strong business acumen, accounting principles, and deep market knowledge.
- Demonstrate an ownership mentality, working closely with IT and other stakeholders to achieve system objectives and strategic goals.
- Prioritize and manage multiple complex tasks and projects, ensuring timely delivery and execution in a fast-paced environment with limited oversight.
Experience and Education Requirements
- Bachelor’s degree in Computer Science, Finance, Economics, Statistics, Engineering, Mathematics, or a related field. Master’s degree in Mathematical Finance or a similar discipline preferred.
- 10+ years of advanced programming experience, including VBA, MATLAB, Python, C#, or Java. Extensive experience with relational database systems (e.g., SQL Server, MS Access).
- 10+ years of experience in derivatives modeling, risk analysis, and application development, with a focus on options, swaps, currency, bond forwards, swaptions, and other complex derivative instruments.
- CFA/FRM/CQF designations preferred.
- Life and annuity business experience required, with understanding of statutory (STAT) and GAAP accounting principles.
Knowledge, Skills, and Abilities
- Advanced, thorough understanding of capital markets, mathematical finance, economics, and accounting principles.
- Ability to learn the proprietary system and lead initiatives to enhance its architecture, scalability, and integration of new models across a wide range of derivative product types, including but not limited to, options, swaps, currency, bond forwards and swaptions.
- Deep expertise in general account and liability hedging strategies, with the ability to balance both short- and long-term objectives while supporting risk management and profitability goals
- Advanced programming skills, capable of developing and refining sophisticated risk and valuation models.
- Advanced expertise in derivatives math, portfolio risk measurement, and management techniques.
- Strong life and annuity business acumen with the ability to propose and evaluate trade opportunities, particularly those that reduce hedging costs and align with broad macroeconomic trends.
- Proven track record of designing proprietary valuation systems and leading efforts to enhance system architecture and scalability.
- Excellent interpersonal, written, and oral communication skills.
- Ability to work independently and efficiently prioritize tasks in a high-pressure environment.
- Proficient knowledge of software used for investment analysis, portfolio management, and reporting such as Bloomberg, Aladdin, and MATLAB.
- Working knowledge of Excel, Access, SQL
- Familiarity with actuarial concepts; experience with FIA and IUL product lines desired as well as futures and options utilized for hedging activities
Other Requirements
- Perform other functions, duties and projects as assigned
- Regular and punctual attendance
- Some travel may be required (less than 10%)
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Additional Information
Work Environments
F&G believes in an employee-centric flexible environment, which is why we offer the ability for in-office, hybrid and remote work arrangements. During the hiring process, you’ll work with your leader to decide what works best for your role.
F&G complies with federal and state disability laws and makes reasonable accommodations for applicants and candidates with disabilities, unless such accommodation would cause an undue hardship for F&G. If reasonable accommodation is needed to participate in the job application or interview process, please contact talentacquisition@fglife.com.
Join our employee-centric hybrid work environment: F&G Careers
About F&G
Since 1959, Fidelity & Guaranty Life Insurance Company (F&G) has offered annuity and life insurance products to those who are seeking security in retirement and protection during life’s unexpected events.
As a national Top Workplace1, an Iowa Top Workplace2 and a proud equal opportunity employer, F&G team members are empowered, collaborative, dynamic and authentic. We believe that by embracing these values, we will continue to build and strengthen the company while continuing to be a great place to work.
1Top Workplaces USA 2022 – 2023
2Des Moines Register Top Workplaces 2018 – 2022
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