Investment Quantitative Analyst
Company: Allstate Insurance Company
Location: Chicago, IL
Posted on: October 24, 2018
Job Description:
Position: Investment Quantitative Analyst (Chicago,
Illinois) 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 L Level III CFA Candidate; experience may be gained in graduate
program. A Apply online at https://jobsearch.allstate.com/ and reference
position n number: 112530.
Keywords: Allstate Insurance Company, Chicago , Investment Quantitative Analyst , Other , Chicago, IL, Illinois