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Quantitative Analyst at 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.