Quantitative Analyst – Risk and Return

at Allstate in Chicago, Illinois, United States

Job Description

Quantitative Analyst – Risk and Return for Allstate Insurance Company in Chicago, IL, to perform quantitative analysis and research within the Risk and Return group with primary focus on risk management and asset allocation. Perform risk and portfolio reporting, performance measurement, attribution, investment technology and infrastructure, and asset-liability management. Develop quantitative models that inform the asset and risk allocation decisions; and value-adding tools to enhance risk and asset allocation processes. Use quantitative techniques to forecast returns and risks for traditional asset classes and alternative investment strategies. Partner with the Risk Management team to model, understand, and manage the risk in the investment portfolios. Model and measure full range of investment risks, including interest rate, credit, equity, currency, counterparty, and liquidity. Effectively communicate model results and findings to the broader organization and to senior management. Develop tools to support asset allocation and relative value decisions across markets. Partial telecommute benefit (2 days WFH).

Requires: Ph.D. degree in Statistics, Data Analytics, Business Administration or related quantitative fields of study (willing to accept foreign education equivalent) plus three (3) years of experience as a Quantitative Analyst or related occupation conducting asset allocation, investment risk management, quantitative investment research and developing investment strategies or, alternatively, a Master’s degree in Statistics, Data Analytics, Business Administration or related quantitative fields of study (willing to accept foreign education equivalent) and five (5) years of experience as a Quantitative Analyst or related occupation conducting asset allocation, investment risk management, quantitative investment research and developing investment strategies. Must also possess the following (quantitative experience requirements not applicable to this section): Demonstrated Expertise (DE) analyzing market trends, macroeconomic indicators, and financial data to identify opportunities and risks in different market conditions to maximize returns for various asset classes; DE performing investment risk management including calibrating marginal return distributions for investment assets and corresponding asset correlations, simulating and testing impact to capital adequacy to quantify investment risk exposure in terms of Value at Risk; DE developing mathematical and statistical models such as generalized regression models, time series, matrix factorization, nonlinear optimization, and risk aggregation; DE building machine learning models such as hidden Markov regime switching, random forest, gradient boosting and mixture models, using MATLAB, R and Python; and DE developing, testing and maintaining optimization models for asset allocation, option pricing model, relative valuation model using cointegration to assess relative values of asset pairs as well as top-down asset variance model for strategic asset allocation. To apply, submit resume to https://www.allstate.jobs/job-search-results/. Reference Position Number: 756053