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Investment Quantitative Analyst

Company: Allstate Insurance Company
Location: Chicago, IL
Posted on: October 24, 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

as CPLEX or GUROBI.

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 https://jobsearch.allstate.com/ and reference position n

number: 112530.

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


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