We are looking for a long term investment...
Prudential Portfolio Management Group (PPMG), established as a stand-alone entity in 2014, is the in-house portfolio manager of Prudential Assurance Company’s assets, which date back to 1848.
We are responsible for approximately £170 billion assets under management and are an award winning multi-asset manager that invests across a broad spectrum of asset classes - from traditional equities and fixed income to alternatives such as hedge funds, infrastructure and private equity.
We strive to deliver top tier investment performance and a high quality service to our clients. Our integrity and transparency is paramount and we value every individual’s contribution.
As part of our stochastic asset modelling team, an opportunity has arisen for a quantitative analyst to join our current team. We are looking for a self-driven, motivated individual to help us with the modelling of long term and medium term assumptions for different asset classes and macroeconomic variables.
The Multi-Asset Quantitative Analyst will be joining PPMG, the Long Term Investment Strategy (LTIS) team which determines the long-term investment strategy for Prudential’s multi-asset and annuities funds. Our areas of expertise include the medium and long term capital market assumptions, Strategic Asset Allocation, Hedging policy and ALM strategy. This requires an understanding of the characteristics of asset class returns, starting from the long term equilibrium assumptions to medium term time horizons and different scenario analysis. The team’s capital markets expertise on asset modelling and medium/long term views is also used widely across the Prudential Group for applications ranging from product design to business planning.
Your key responsibilities will be
Stochastic Asset modelling
You will assist the Stochastic Modelling team in the calibration of the Economic Scenario Generator to market data / capital market assumptions. The calibrations cover a wide range of purposes, e.g. valuation and reporting, capital and risk modelling, investment strategy, product design / pricing, business strategy, etc.
• You will be expected to work on the BAU production as well as the enhancement of calibration process
• Lead / participate in various investigations that lead to the development of the stochastic asset model design.
ALM and Hedging Strategy
• You will have the opportunity to assist in framing the appropriate hedging strategy for the multi-asset funds in managing their market risks (e.g., inflation and currency), investment risks (e.g., equity level, equity volatility), credit risks, liquidity risks and operational risks.
• You will have the opportunity to assist the Long Term Investment Strategy Team in the design of new investment products, based on the team’s portfolio optimisation methodology and PPMG’s views on different asset classes.
Capital Market Assumptions - You will assist the Long Term Investment Strategy Team to build its medium and long term capital market views, including its expectations of returns across a wide spectrum of asset classes and geographies, as well as its views on volatilities and correlations across these asset classes. This may involve significant modelling skills.
Strategic Asset Allocation - The Long Term Investment Strategy Team manages the strategic asset allocation (SAA) and associated tactical asset allocation (TAA) limits (SAA tolerance levels) for different multi-asset funds, while ensuring compliance with all regulatory requirements and Prudential Group constraints.
• You will help the team in framing the SAA advice and recommendations while taking into account its medium and long term views of expected returns and risks of different asset classes.
What we are ideally looking for
• Undergraduate / Postgraduate qualification in Financial Mathematics, Statistics or Economics or a related subject.
• Stochastic modelling skills. Experience of various stochastic financial models / theory and good modelling skills is an advantage.
• Statistical modelling and research skills. Ability to create and use financial models of economic variables and asset prices to understand statistical behaviour of historical data.
• Capital markets expertise across different asset classes and geographies, with sound comprehension of the macroeconomic drivers of risks and returns would be valuable
• Analytical and quantitative skills and good knowledge of appropriate systems and software.
Prudential Portfolio Management Group (PPMG) is committed to a diverse and inclusive workplace. Our role as an employer is very simple – to provide the right environment for talented people to do their best work, by respecting, understanding and valuing individual differences.
We welcome applications from individuals who have taken an extended career break, and we are willing to consider flexible working arrangements for all of our roles.