Quantitative Analyst
ClearLife Limited

Opportunity:

To join ClearLife as a quantitative analyst. The role involves developing and implementing quantitative pricing models.

Candidate:


  • Mathematics/Statistics/Actuarial Science/Related degree;

  • Knowledge of or interest in learning quantitative finance, data science and related areas;

  • Ability to write mathematical code;

  • Ability to communicate effectively, write reports, present ideas

Areas of Work:


  • Pricing and quantitative analysis of financial securities (e.g. life insurance policies, mortgages);

  • Client consultancy (portfolio pricing, analysis);

  • Following the state-of-the-art in the markets in which ClearLife operates, including both academic research and current practice;

  • Create written research output for external distribution;

  • Analysis of market data with a view to improving our products and reporting data internally and to clients.

Tools:


  • C# / F# / R / Python;

  • Microsoft Excel.

Examples of selected project work. Not in order of priority:


  • Life Settlements (LS):


    • Pseudo-random Monte Carlo simulation;

    • Pricing policies without underwriter reports;

    • No-lapse pricing

    • Shadow account analysis;

    • Cost of insurance hike risk analysis;

    • Portfolio actual/expected performance.


  • Lifetime Mortgages /Equity Release (LM):


    • NNEG option pricing.

    • Analysis of the impact of various approaches including ARMA/EGARCH model, back-testing of a machine learning approach on existing portfolios;

    • Risk factors analysis on LM portfolios;

    • UK house price data analysis.


  • Non product-specific:


    • Create “Product library” for both LS and LM;

    • Risk factor analysis: generally, what risks should clients be focusing on in their portfolios. 


Posted 11 months ago