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