Description
The Global Hedging - Variable and Indexed-Linked Products (GHVILP) team is part of the Global Asset Liability Management function within the General Account Investments. The team is responsible for establishing and managing global hedging programs at Manulife Financial. The program currently manages both the company’s balance sheet equity risk through the Macro program and the market risks associated with variable annuity (VA) and indexed universal life (IUL) products.
There are two sub-groups within GHVILP: Strategy and Actuarial Modeling. This position is within the Strategy group. The Strategy group is responsible for the hedging assets and is headed by the director, GHVILP Strategy. The Strategy group’s primary responsibility is to identify our risk exposures and design robust hedging strategies to mitigate market risks. The Strategy group is also responsible for the monitoring and high-level reporting on the performance of all aspects of the group’s hedging programs.
The VA and IUL hedging programs are high profile within the company and attracts positive attention to high performing team members. The nature of the work is very practical, ultimately leading to trade in the market. The work in the Strategy group is generally on the boundary of Front and Middle office roles in a traditional investment banking group.
Responsibilities
- Analyze proposals for new hedging strategies, completing due diligence work. Conduct research to compare alternative strategies to determine the overall effectiveness of a hedging strategy.
- Analyze large data sets and conduct statistical analysis using R/Python/Excel.
- Provide, or research to acquire, subject matter expertise on specific segments of capital markets (such as equities, commodities, FX, credit and/or fixed income). Particularly product details, and valuation and risk measurement methodology of the following products:
- IR swaps, equity futures, bond futures, FX futures, total return swaps, OTC options, exchange traded options, IR Swaptions.
- Develop new tools and metrics using Excel/VBA/Python/etc. to evaluate hedging strategies.
- Collaborate closely with Actuarial Modeling, Equity Risk Oversight, traders, IT and other stakeholders to drive improvements to the hedging program
- Provide specifications to development teams and assist with interpretation from a capital markets perspective, to ensure the implementation meets business needs.
- Complete updates to production model parameters maintained by GHVILP, specifically fund mapping decomposition of target indices into tradable instruments.
Qualifications
- A demonstrated quantitative aptitude, at the minimum level consistent with undergraduate mathematics/actuarial science/science, is required.
- Have a good theoretical knowledge of finance and derivatives, preferably together with practical knowledge including market conventions, specific product knowledge, and best practices of quantitative modeling in industry.
- Should have experience using VBA, SQL, EXCEL, scripting tools, including an understanding and application of basic professional coding practices, version control, and documentation standards.
- Proficient in at least one of R/Python with experience analyzing large data sets.
- A demonstrated business acumen and orientation towards solving real world problems.
- Able to adjust communication style for different audiences, including summarizing complex information and recommending actions when needed.
- A strong educational background in at least one of finance, mathematics, or actuarial science.
- FRM or CFA designation (or in pursuit of) an asset.
