Position OverviewPrimary Responsibilities
- Run and analyze asset portfolios for insurance clients through various models and evaluating model outputs, as well as running of interest rate and credit stress scenarios and analyzing impact to various asset types as well as the overall portfolio.
- Drafting of daily/weekly commentary summarizing portfolio economic movements and how daily/weekly changes in rates and other market conditions are impacting the portfolio..
- Engage with insurance clients, whose portfolios that we manage, in addressing their questions/requests, communicating and presenting material updates in the modeling of their portfolios, and other client service needs.
- Quarterly re-projection of cashflows on the structured credit portfolio to capture the effect of changes in the rate environment on accounting treatment of the portfolio.
- Work closely with Investment Accounting teams to evaluate if OTTI/allowance need to be taken on any assets, and calculation of those amounts for any holdings under STAT and CECL Accounting frameworks.
- Close collaboration with multiple teams to forecast investment earned rates and spread-related earnings, and prepare analysis and presentations for senior management that provides commentary on market and portfolio changes in support of updated forecasts.
- Closely collaborate with our Quantitative Development team on our proprietary asset models, including enhancing models to accommodate new asset classes that we may start to manage and/or new calculations and outputs to satisfy updated regulatory requirements.
- Validate updates to asset models and update model documentation to capture updates to calculation logic in the models
- Troubleshoot and debug issues that may arise out of models to trace back sources of errors, using various data science techniques.
- Operate in a SOX/SOC-1 controlled framework, including engagement with auditors on a periodic basis to demonstrate that necessary controls are complied with in the modeling of regulatory scenarios and other model outputs that can impact financial statements.
Qualifications & ExperienceThe ideal candidate is detail and process oriented, and able to work in a very demanding and fast-paced environment while meeting strict deadlines. In addition, the following credentials are necessary:
- Bachelor's or Graduate degree in Business or Math/Sciences
- Solid background in fixed income assets, especially structured securities (i.e. ABS, CLO, CMBS and RMBS) and experience modeling securities using Intex
- Familiarity in the modeling of residential and commercial mortgages is a plus
- Solid Excel and SQL skills are a must
- Knowledge of Python, Power BI and/or solid data science aptitude are a plus
- Two to four years of relevant work experience
- Experience with modeling portfolios in Aladdin Explore/Answer, or other vendor based modeling platforms that focus on modeling fixed income and structured security portfolios
- Ability to understand dataflows between various systems that house data.
- Experience in delivering information under a SOX/SOC-1 controlled environment.
- General understanding of accounting principles is a plus
- Attention to detail, strong work ethic, a team player and ability to think outside of the box with creative solutions
- MBA or CFA Charter (or progress towards CFA Charter) a plus
Our BenefitsApollo relies on its people to keep it a leader in alternative investment management, and the firm's benefit programs are crafted to offer meaningful coverage for both you and your family
Pay Range$175,000 - $200,000
The contents of the qualifications and experience section of this job description are a guideline only. If an applicant can otherwise demonstrate their suitability for the role they will be considered.
The base salary range for this position is listed above. This position is also eligible for a discretionary annual bonus based on personal, team, and Firm performance. Compensation ranges are based on several factors including job function, level, and geographic location. Final offer amounts are determined by multiple factors including candidate experience and expertise, and may vary from the amounts listed here.
