Nationwide AVP, NF Quantitative Risk Mgmt in Columbus, Ohio
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Number 54 on the Fortune Magazine 100 Best Places to Work.
Responsible for key elements of NF hedge related risk management, including development and maintenance of hedging modeling infrastructure, development of hedge strategies, governance and execution of hedge strategies including hedge tracking. Successful execution of these elements is critical for our flagship annuity products, including variable annuities and fixed indexed annuities.
Role also provides critical business strategic and operational support for both inforce management and new product design. Responsibilities include critical review and evaluation of mutual fund additions, design and execution of proprietary funds involving derivatives and derivative strategies such as volatility controlled funds, and the design of liability features that involve derivatives.
Reports to: Vice President, Quantitative Risk Management
Oversee model development of Beowulf GPU-based hedge system and its integration with other in-house software and systems.
Manage hedge models and software following Enterprise Critical Model governance standards including documentation, change control, performance monitoring, and supporting various model oversight requests from both internal and external agencies.
Co-Chair Enterprise Hedge Oversight Group, responsible for hedging best-practices for strategies employed throughout the company.
Design, quantify and analyze guarantee and crediting benefits that meet business and risk goals, and are consistent with cost and hedge effectiveness constraints.
Design, quantify and analyze macro level hedges that meet complex criteria including stability of cost over extended planning horizons, control of Enterprise Large Loss events, impact on Enterprise financial forecast, etc.
Communicate strategies to various internal and external audiences including regulators, rating agencies, distribution partners, etc.
Manage execution of approved hedges considering and managing relevant constraints and targets, including corporate liquidity needs, execution cost, market gap risk, and rebalancing frequency.
Manage hedge execution processes following Investments Controls, Audit and Financial Risk Controls, and other governance standards including strategy documentation, trading controls, and hedge performance monitoring.
Communicate performance to various internal and external audiences including regulators such as rating agencies, regulatory bodies, and accounting auditors.
Monitor the hedge tracking performance and modeling of 140+ mutual funds offered by Nationwide. Perform due-diligence on proposed new additions.
Design, implement and monitor managed volatility funds and other managed funds involving derivative instruments and derivative trading strategies.
Design crediting indices backed by derivative instruments and derivative trading strategies.
Breadth Across Enterprise:
Financial Responsibility and Scope:
Direct responsibility includes management of a $2 billion macro-hedge equity portfolio, index crediting assets covering $13 bill of policyholder premium, and other various derivative positions.
Developing Strategy – Domain expert and leader in developing Enterprise-level and Product-level risk management and asset related liability strategies.
Providing Input on Strategic Direction - Provide input on overall risk related strategic objectives including retained risk strategy and balancing risk and risk cost.
Executing Strategy - Directly responsible for executing financial risk management strategy at both the Enterprise-level and product-level.
Five direct reports, individual contributors ranging from F to H.
Guide work of associates of internal partner groups such as Product Lines, Investments, Finance, and Enterprise Risk Management.
Guide and contribute to work of external partner groups including consultants supporting risk management, investment banks whose products are embedded in Nationwide Financial products or are used for risk management purposes, consultants executing model risk management requirements supporting Fed and other regulatory requirements.
Typical Skills and Experiences:
FSA, FCAS, or Financial Engineering Degree (MFE, MSCF, CQF, etc.)
10+ years experience with hedge strategy design and execution.
Experience managing teams and projects.
Experience communicating with senior internal and external stakeholders.
Strong familiarity with variable annuity guarantees and index crediting strategies.
Strong background in financial derivative and hedging mathematics and computation finance.
Role requires deep knowledge in the intersection of liabilities (including accounting for liabilities), financial engineering, investment banking/financial market transactions. As a leader of the team and primary interface of internal and external partners, role requires good communication skills and a keen ability to both keep stakeholders informed and understand and process their objectives even under stressed financial market conditions. This experience is typically represented by:
Staffing exceptions to the above must be approved by the hiring manager’s leader and HR Business Partner.
Values: Regularly and consistently demonstrates the Nationwide Values and Guiding Behaviors.
Overtime Eligibility: Not Eligible (Exempt)
Working Conditions: Normal office environment. Some travel may be required.
ADA: The above statements cover what are generally believed to be principal and essential functions of this job. Specific circumstances may allow or require some people assigned to the job to perform a somewhat different combination of duties.
Evaluation Activity: AEH / May 2018
Additional Job Description
Job ID: 50301