Chief Investment Risk Officer

Minimum Qualifications Basic Qualifications :

• Bachelor’s degree in Finance, Mathematics, Engineering, Economics, or related field;
• Candidates should have at least ten years’ experience at an insurance company overseeing and managing investment risk; OR ten years’ experience managing Investment Risk

Preferred Qualifications :

• Master’s in quantitative finance such as MFE, or MBA with concentration in Finance preferred;
• Relevant professional designations (., FRM, PRM, CIPM from the CFA institute, FSA / ASA) are advantageous;
• Strong working knowledge of fixed income and equity markets, derivatives, insurance asset liability management, alternatives and private markets;
• Strong understanding of Monte Carlo, Stochastic Calculus, PDE’s, Linear Algebra, Markov Chains, Copula modeling, etc.;
• An understanding of programing languages, not limited to Stata, R, SQL, VBA, Python, C++, Matlab, etc.;
• Experience with front / middle office risk management systems such as; BlackRock Aladdin, RiskMetrics, YieldBook, Moodys KMV, Trepp, Intex, etc.;
• Compelling presentation skills, and outstanding verbal and written communication skills;
• Experience building and managing diverse teams.

Please be advised that the New York State Insurance Fund does not offer sponsorship for employment visas to employees or potential employees.

Candidates sponsored for employment by an organization should be aware of their sponsorship status and the relevant expiration date(s) of that sponsorship before applying to this position.

Duties Description NYSIF is the largest workers’ compensation carrier in NYS and among the top 10 largest workers’ compensation carriers in the nation, insuring approximately 139,000 policyholders, with more than $1.

8 billion in annual earned premium and over $20 billion in assets.

Under the direction of the Chief Investment Officer (CIO) the Chief Investment Risk Officer will be responsible for overseeing and implementing risk management controls for NYSIF’s general account assets.

The candidate will be responsible for understanding and monitoring all risk factors related to NYSIF’s investments from both economic and statutory perspectives, chairing investment risk management meetings, managing and reporting on significant financial risk including but not limited to liquidity, concentration, credit, interest rates and structured product risks.

Additionally, the candidate will be expected to combine their leadership and analytical skills advise the CIO and senior executives on NYSIF’s risk exposures against its desired risk profile and foster a strong risk culture.

The candidate will collaborate with external third parties to advance state-of-the-art risk analyses and monitoring.

Responsibilities include, but are not limited to :

• Perform analytical work to identify interest rate, credit default, credit spread, liquidity, alternatives, and structured product risk exposures;
• Work proactively and communicate with the CIO, investment staff, investment consultants and traders to understand risk and performance decomposition, identifying risks, both quantitatively and qualitatively, of risk issues related to the portfolios and strategies;
• Provide in-depth analysis of trading activities including positions, strategies, limits and risk profiles of invested assets in all portfolios;
• Analyze risk and provide commentary on portfolio metrics, manage stress testing and scenarios analysis, analyze daily / weekly risk reports, and contribute to the development of a cohesive institutional investment risk management framework;
• Collaborate in the development of strategic asset allocations across NYSIF’s portfolios and provide support on capital management frameworks;
• Oversight of all investment structures, benchmarks, valuation models, and risk data warehouses;
• Partner with external risk vendor provider to create state of the art risk analysis, risk monitoring and decomposition;
• Provide guidance for technology enhancements to risk management measures beyond existing tools;
• Present risk management processes, methodologies, and implementation approach to investment staff, senior management, NYSIF’s Investment Committee and Board Members;
• Partner with both internal and external actuaries to support and enhance asset liability management, cash flow and liquidity analysis;
• Perform ad-hoc analysis to address real-time risk information need by the CIO and senior management;
• The Chief Investment Risk Officer will manage a staff of risk analysts and also serve as a liaison to finance, compliance, audit, legal, and information technology departments;
• Ensure that risk management processes and methodologies are well documented and reflect all portfolio risk.
• Enhance NYSIF’s measurement of ESG, climate and diversity factors.
30+ days ago