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Investment Quantitative Analyst

Company: Allstate Insurance Company
Location: Chicago, IL
Posted on: October 26, 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

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 and reference position n
number: 112530.

Keywords: Allstate Insurance Company, Chicago , Investment Quantitative Analyst , Other , Chicago, IL, Illinois

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