Role Value Proposition:
MetLife’s Structured Solutions Unit assists the Company to use derivatives to solve ALM challenges. We support the derivatives trading desk, which includes CSA discounting, funding value adjustment, derivatives pricing and counterparty exposure optimization. We also function as the internal derivatives consulting group and provide quantitative derivatives solutions to many groups across MetLife. The Candidate will have the opportunity to work withrisk management, ALM, finance, treasury and gain broad exposure.
- Development of trading desk models for Interest Rate, Foreign Currency, Inflation, Equity and Hybrids.
- Manage the on-going maintenance of Numerix Cross Asset Server.
- Implement next generation, service-oriented analytic technology to support the real-time analytic needs of the XVA desk.
- Work with International Liability Product Management teams to review deal structures and model new product offerings.
- Partner with Liability teams to refine and enhance capital markets assumptions in liability pricing.
- Work closely with Variable Annuity Hedging Team to provide financialengineering expertise as it relates to new products and risk analysis used in the teams dynamic hedging strategy.
- Assist in structuring trades for the trading desk, as necessary.
Essential Business Experience and Technical Skills:
- Advanced Degree in a Quantitative Discipline, preferably in the hard sciences, mathematics or financialengineering
- 7years experiences in derivative products, particularly rate and equity derivatives
- Detailed knowledge of the Libor Market Model, Hull-White Model, Heston Models, OIS and dual curve stripping, volatility surface construction, convexity adjustments
- Practical experience with Credit Value Adjustments and Potential Future Exposure
- Candidate must be able to demonstrate proficiency in object oriented programming
- Attention to detail and ability to meet deadlines while multi-tasking
- Good communication and presentation skills
- Proficiency in Numerix Cross-Asset