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Head of Derivatives Analytics will lead the front office Derivative Analytics Team at MetLife. They will be responsible for the development and maintenance of MetLife Investment Advisors derivatives models used to price and stress test a $300bn notional derivatives portfolio. The successful candidate will manages a three-person team that provides proprietary analytics to different areas of the Firm, including Finance, Treasury, and the Derivatives Front Office Traders. The candidate will have the opportunity to work with risk management, ALM, finance, treasury and gain broad exposure across the organization.
The successful candidate will possess a superior understanding of derivative pricing methodologies and models, and how to apply them in practice.
They will have extensive experience in managing IT analytical projects, and with cloud computing technologies. They will play a critical role in preparing MetLife and MetLife Investment Advisors for the transition to alternative reference rates. The Head of Derivative Analytics will oversee the development of pricing models, and discount curves referencing SOFR, SONIA, ESTER and other IBOR alternatives. They will also assess the impact of alternative rate fallback methodologies and strive to promote certainty, reduce disruption and allow for the smooth transition from legacy benchmarks.
The successful candidate will have a deep programming and quantitative background, combined with a technical understanding of the derivative products especially rates and equity derivatives. They will partner with the senior members of the Structured Solutions team as well Liquidity & Risk Management, Derivatives Middle Office and, Planning, Projections & Management Reporting to continuously help develop leading-edge analytics and integrated/automated processes. The selected candidate will report to the Managing Director of the Structured Solutions Unit.
Derivative Analytics and IT infrastructure
Assess suitability of infrastructure given current and future projected needs
Develop trading desk models for Interest Rate, Foreign Currency, Credit, Inflation, Equity and Hybrids
Prototype derivative analytics, and work with IT to implement into Production
Develop derivative pricing models / approaches for new derivative instruments
Price exotic/structured derivatives
Establish analytical methods to incorporate derivative impact on financial measures including NII, and Capital
Assist the Desk with pricing requests including CSA specific discounting, and Best Execution requirement
Implement next generation, service-oriented analytic technology to support the real-time analytic needs of the XVA desk
Coordinate derivative analytical needs related to MIM offerings to 3rd party clients
Work closely with Variable Annuity Hedging Team to provide financial engineering expertise as it relates to new products and risk analysis used in the teams dynamic hedging strategy
Articulate model behavior and predictions to traders, identify risk and provide analyses of scenarios
Work as a liaison between front office traders and IT to set requirements and manage progress of front office IT projects
Partner with Liability teams to refine and enhance capital markets assumptions in liability pricing
Function has a major role in preparing for the transition to alternative reference rates. Develop pricing models, and discount curves referencing SOFR, SONIA, ESTER, and other IBOR alternatives. Assess impact of alternative rate fallback methodologies
Prepare MetLife for upcoming mandatory Initial Margin requirements
Work cross-functionally with diverse teams, including Investments IT, Treasury, Risk Management, ALM, Middle Office, Accounting and Portfolio Management
Effectively lead staff in a manner that results in high productivity and performance; champion a culture of continuous improvement. Provide a working environment that enables staff to grow and succeed on a professional level
Work with International Liability Product Management teams to review deal structures and model new product offerings
Reports to: VP Structured Solutions Unit
Direct Reports/team: 2
Key Stakeholders: Liquidity & Risk Management, Derivatives Middle Office and, Planning, Projections & Management Reporting
Essential Business Experience and Technical Skills:
Minimum 8-10 years of experience in rate and equity derivatives products required
Proficiency in Numerix Cross-Asset required
Excellent communication skills; ability to express complicated methodologies to the business stakeholders
Excellent programming skills and knowledge of scripting languages such as Python and Java
Practical experience with Credit Value Adjustments and Potential Future Exposure
Candidate must be able to demonstrate proficiency in object-oriented programming
Knowledge of the Libor Market Model, Hull-White Model, Heston Models, OIS and dual curve stripping, volatility surface construction, convexity adjustments is required
Knowledge of Regulatory IM requirements, including functionality of ISDA SIMM (Standard Initial Margin Model) is required
Must be detail-oriented with strong time management/prioritization skills and ability to work independently is essential
Advanced Degree in a Quantitative Discipline is required, preferably in the hard sciences, mathematics or financial engineering
MetLife Leadership Competencies:
Thinks Strategically Sets direction aligned to the company s strategy, applying external and global perspective to meet local and global needs. Must be a creative and innovative thinker who can bring thoughts to actions
Motivates People Gains people commitment to achieve business objectives through clear communication of the company s vision and flexing leadership styles to inspire high performance.
Creates Partnerships Authentically builds trusted relationships and collaborates across global, diverse and multi-functional teams to successfully drive business objectives.
Seizes Opportunity Seeks new opportunities and ways to create balanced business growth while improving operational capabilities.
Grows Talent Inclusively and pro-actively develops talent, empowers individuals and manages diverse teams to drive engagement and performance.
Models our Values Creates a culture that promotes the company s values and standards through role modeling, accountability and ownership of decisions.
Focuses on Customers Promotes customer centricity and ensures focus on creating great customer experiences to achieve competitive advantage.
Drives Results Sets aggressive goals and is accountable for continuously driving improved performance, leading change and ensuring high standards. Consistently strives for continuous improvement. Analytical approach to problem solving
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