Quant Analyst Credit and Insurance Linked Investments
As a quant analyst in the CILI team you will be working on the proprietary models that PGGM CILI is using in managing its € 9 billion investment portfolio in credit and insurance linked investments. You will be working within a mid-sized team of experienced investment managers and learn on the job. You will actively contribute to the quantitative analysis of transactions and the overall portfolios and depending on experience, you will develop, validate and/or maintain the proprietary models and databases that the CILI team is using. These models vary from reporting modules which are extracting data from database systems and perform some quick calculations to full-fledged stochastic financial models, which are used for valuation and risk assessment and include Monte Carlo methods and a Gaussian copula model.
You will start with a focus on the Credit Risk Sharing transactions and later expand your focus to the Insurance Linked Investments mandate as well. In addition, you will be responsible for monitoring a selection of existing investments.
PGGM is a Dutch pension fund service provider responsible for managing the pensions for different pension funds, their affiliated employers and employees. Credit & Insurance Linked Investments (CILI) manages two unique mandates for our main client, pensionfund PFZW. One mandate is the Insurance Linked Investments mandate which invests in exposures to natural catastrophe risk. The other mandate is Credit Risk Sharing, which invests in credit risk sharing transactions with banks.
We invest worldwide and as a team we look to work together on multiple fronts for both mandates.
The Credit Risk Sharing mandate is to a large extend about understanding credit risk. Having experience in assessing credit risk will be very helpful.
The ideal candidate:
- Has a Master’s degree or a PhD in a quantitative field (econometrics, physics, mathematics, computer science or similar)
- Has good programming language skills in for example Python, C++, VBA, SQL or similar languages in his/her toolbox or is willing to learn
- Has affinity with stochastic financial models and Monte Carlo simulation methods
- is a fast learner who likes an intellectual challenge and is eager to understand the underlying reasons
- is an open personality and strong communicator
- can write and speak English fluently
- has approximately one to three years experience in a financial institution
- the possibility to work in an ambitious and very experienced team
- the possibility to learn about unique investments that are not commonly seen across asset managers
- an international focus and the opportunity to become a quant expert within the team
- a professional working environment with many opportunities to develop yourself on many fronts
More information? Contact Irma Bousardt, Senior Recruiter, by whatsapp, +31 (0)6 30339754 or e-mail firstname.lastname@example.org. To apply, please press the ‘Solliciteer’ button to upload your resume and coverletter.
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