Associate, Investment Risk Quantitative Engineer, Ares Insurance Solutions (AIS)

Over the last 20 years, Ares’ success has been driven by our people and our culture. Today, our team is guided by our core values – Collaborative, Responsible, Entrepreneurial, Self-Aware, Trustworthy – and our purpose to be a catalyst for shared prosperity and a better future. Through our recruitment, career development and employee-focused programming, we are committed to fostering a welcoming and inclusive work environment where high-performance talent of diverse backgrounds, experiences, and perspectives can build careers within this exciting and growing industry.

Job Description

The Ares Insurance Solutions team is seeking an experienced developer resource to assist in:

• Designing, implementing, and testing a comprehensive in-house Alt Credit collateral-level risk and analytics platform with financial projection, as well as portfolio and capital optimization
• Support the risk and analytics needs of the Ares Insurance Solutions team more broadly, including the maintenance and support of the above analytics platform upon the completion of its development

RESPONSIBILITIES:

• Collaborate with other Ares quantitative and IT resources for building the analytics platform, at-scale using cloud resources
• Develop and test collateral and security projected cashflows, valuations, and risk metrics, under different deterministic and stochastic scenarios
• Utilize various Python packages to develop and estimate parametric and non-parametric models for ABS collateral behavior
• Support integration of bespoke analytics with third party vendor product APIs that include, but are not limited to, Intex, AdCo, Trepp, and Conning ESG.
• Develop algorithms to process big data outputs to create informative reporting for senior leadership
• Implement and test insurance-based metrics and analytics generation based on business guidance
• Continue support and maintenance of the analytics platform, once initial build is complete
• Partner with portfolio management and other team members to support AIS analytic needs as required
• Build strong relationships with portfolio managers and members of other operational and quant teams across Ares and outside managers as needed to act as a key point of contact to prioritize and answer questions relating to investment data/analytics

QUALIFICATIONS:

• Undergraduate and/or advanced degrees in finance, mathematics, engineering and/or computer science preferred
• 4+ years of quantitative modelling and development experience within a financial services firm
• 4+ years of practical experience of model development in Python, preferably in a production environment, is essential
• Working knowledge of Intex, and Intex Wrapper API, with prior experience automating cashflow generation for CLOs, RMBS, CMBS, and ABS securities
• Experience building econometric or machine learning models is a plus
• Experience building algorithms that solve complex global optimization problems is a plus
• Professional designations such as CFA, FRM, etc., would be viewed favorably, but not essential
• Basic understanding of modern financial mathematics (e.g. bond mathematics, Monte Carlo simulation in real and risk neutral environment, interest-rate modelling) are essential
• An understanding of bond mathematic concepts such as duration, convexity, option-adjusted spread, z-spread, spread duration, key-rate duration, interest curve building, bootstrapping, etc. are required
• SQL, Python required; experience using VS Code IDE, WSL, and shell scripting languages (e.g. bash) preferable
• Practical experience using GIT is required
• Knowledge of Docker and Cloud applications (e.g. AWS / Azure) would be viewed favorably
• An understanding of basic accounting, regulatory, risk management and strategic frameworks under which insurers operate, would be viewed favorably, but not required
• Excellent problem-solving abilities, intellectual curiosity, and experience in understanding and solving complex issues
• High level of integrity enabling the candidate to become a trusted partner to clients and peers

Reporting Relationships

Compensation

$110,000-160,000

There is no set deadline to apply for this job opportunity. Applications will be accepted on an ongoing basis until the search is no longer active.