As a Quant Specialist in the CILI team you will be working on the proprietary models that PGGM CILI is using in managing its € 11 billion investment portfolio in Credit & Insurance Linked Investments. You will be working within a mid-sized team of experienced investment professionals of many different nationalities and learn about our unique investments on the job. You will actively contribute to the quantitative analysis of transactions and the overall portfolios and depending on experience, you will develop, validate and/or maintain the proprietary models and databases that the CILI team is using. These models vary from reporting modules which are extracting data from database systems and perform some quick calculations to full-fledged stochastic financial models, which are used for valuation and risk assessment and include Monte Carlo methods and a Gaussian copula model. You will focus both on the Credit Risk Sharing transactions and Insurance Linked Investments.
Jouw afdeling binnen PGGM
PGGM is a Dutch pension fund service provider responsible for managing the pensions for different pension funds, their affiliated employers and employees. With € 252 billion under management, PGGM is one of the largest pension fund investors globally.
Credit & Insurance Linked Investments manages two unique mandates for our client PFZW. One mandate is the Insurance Linked Investments mandate which invests in exposures to natural catastrophe risk. The other mandate is Credit Risk Sharing, which invests in credit risk sharing transactions with banks.
We invest worldwide, have active investing relationships with many of the largest banks and reinsurers in the world and as a team we look to work together on multiple fronts for both mandates. The team is globally recognised as a leading investor in both Credit Risk Sharing transactions and Insurance Linked Investments.
The Credit Risk Sharing mandate is to a large extent about understanding credit risk and having experience in assessing credit risk will be very helpful. At the same time, understanding of natural catastrophe risk modelling is a plus as well.
The ideal candidate:
- has up to five years relevant experience in a financial institution, ideally regarding modelling for banks;
is looking for a quantitative position within a front office team;
- has a Master’s degree or a PhD in a quantitative field (econometrics, physics, mathematics, computer science or similar);
- has good programming language skills in for example Python, C++, VBA, SQL or similar languages in his/her toolbox or is willing to learn;
- has affinity with stochastic financial models and Monte Carlo simulation methods;
- is a fast learner who likes an intellectual challenge and is eager to understand the underlying reasons;
- is an open personality and strong communicator;
- can write and speak English fluently.
Wat wij bieden
the possibility to work in an ambitious and very experienced team;
the possibility to learn about unique investments that are not commonly seen across asset managers;
an international focus and an international team;
a professional working environment with many opportunities to develop yourself on many fronts.
Contact Inez Crolla, Campus Recruiter by whatsapp, +31 (0)6 83240801, or e-mail: Inez.email@example.com.
When interested in the position, please include your gradelist!
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