AVP, Market Risk & ALM and Hedging

AVP, Market Risk And Alm And Hedging

The AVP, Market Risk and ALM and Hedging role is part of our growing Market Risk team under the Enterprise Risk Management function. In this capacity, you will support the safeguarding our company's financial health and ensuring the successful implementation of our risk management strategies. Your range of responsibilities include overseeing the risk management of our hedging programs, evaluating and monitoring the performance of these programs. Building quantitative risk and valuation models to test and validate the various models sued by stakeholders across various asset classes including equity, fixed income and currency derivatives, and equity and rate stochastic volatility models. Ensuring adherence to ALM and hedging guidelines while working with internal stakeholders in ALM, Hedging, Treasury and Finance teams to support innovative solutions and strategies to optimize the balance sheet and augment the existing ALM framework. This position is responsible for supporting the Chief Risk Officer of FLIAC in day-to-day oversight of the risk management of hedging activities across the various hedging programs including the FLIAC legal entity (Fortitude Re's Variable Annuity book of business). This position reports to the Senior Vice President, Head of Market Risk and Chief Risk Officer of FLIAC legal entity. This position initially is individual contributor and does not have any direct reports.

What You Will Do:

• Lead the advancement of methodology and implementation of Fortitude Re's market risk analytics and reporting, ensuring that proper information is captured within risk reports allowing for an insightful, transparent, and effective risk management and oversight across ALM and Hedging programs.
• Analyze and assess the impact of market risks on both the asset side and insurance liabilities, including interest rate risk, spread risk, equity risk, and liquidity risk. Communicate the observations and insights with our various internal stakeholders to help drive better decisions to manage the risk of our balance sheet.
• Collaborate closely with the Hedging and Trading team on day-to-day risk management efforts across the derivatives book and assets and liabilities in our balance sheet. Proactively identify and analyze potential market risk exposures across our balance sheet and, as well as collaborate and contribute to the development and implementation of robust hedging strategies.
• Analyze and evaluate the effectiveness of existing and proposed hedging programs (e.g., Equity, Interest Rate, New Business Market Risk, FX, and Fund Basis risk) from both quantitative modeling and operational perspectives, recommending hedging strategies to optimize market risk mitigation and enhance portfolio performance and PnL.
• Identify issues, gaps, and research solutions as related to asset liability management practice, with a focus on optimizing risk management for firm's balance sheet with specific insurance liabilities.
• Stay abreast of evolving regulatory requirements and industry best practices in Market Risk management, hedging strategies and ALM, leveraging knowledge to support enhancing Fortitude Re's existing risk management strategies and framework.
• Collaborate with Investments, Actuarial, Finance, Capital Management, and Treasury to strengthen asset-liability management, liquidity and hedging risk management frameworks for both in-force portfolios and new business initiatives.
• Maintain a deep understanding of insurance liability dynamics and their impact on the company's risk profile, including the liabilities of the new reinsurance deals.
• Monitor compliance with applicable regulatory frameworks (e.g., NAIC, BMA, RBC, or equivalent) and rating agency expectations related to ALM, Hedging and Liquidity risks.
• Support internal audits, regulatory examinations, and external reviews related to portfolio risk management.
• Promote a collaborative, accountable, and high-performance team culture aligned with organizational objectives.

What You Will Have:

• Graduate degree in Financial Engineering, Quantitative Finance, Actuarial Science, or related discipline with strong quantitative finance aptitude.
• Minimum of 7-12+ years of experience in market risk management, asset-liability management, and hedging and trading risk management, with a demonstrated understanding of the complexities in insurance liabilities.
• Demonstrated experience leading risk professionals or complex cross-functional initiatives.
• Strong quantitative and modeling expertise in derivatives, including experience with interest rate, equity, credit, volatility, correlation and portfolio models.
• Strong quantitative and modeling skills, including experience with industry-standard risk management software and both market risk and insurance liability models.
• Strong understanding of life and annuity insurance liability characteristics and asset-liability management principles.
• Familiarity with reinsurance industry, regulatory and capital regimes (e.g., NAIC, BMA, RBC, or equivalent).
• Demonstrated knowledge and understanding of various financial derivative models (interest rate, stochastic volatility, equity, etc.), and economic scenario generators is desired.
• Deep knowledge of fixed income asset classes regarding their risk profiles is preferred.
• Advanced proficiency in Excel and PowerPoint; experience with data analytics tools such as SQL, Power BI, or similar platforms.
• Demonstrated ability to code in at least one programming language (e.g., Python, Julia, C++).
• Strong analytical, problem-solving, and decision-making capabilities.
• Excellent written, verbal, interpersonal and presentation skills, with experience communicating complex risk topics to senior leadership.
• Professional designation such as CFA, FRM, PRM, or Associate or Fellowship in the Society of Actuaries (ASA/FSA) is a plus.
• Proven ability to work independently and within a team environment.
• High attention to detail and highly organized with strong follow-through skills.
• Fast learner and adaptable to a fast-paced environment.

Preferred Qualifications:

• Experience leading projects and influencing stakeholders.
• Experience overseeing derivatives and hedging program risk management.
• Experience working within Bermuda regulatory frameworks.

Base Salary Range $180,000 — $200,000 USD

At Fortitude Re, our strength has always come from our people. Our success is deeply rooted in our ability to embrace the unique attributes, perspectives and experiences of every individual within our company. Fostering a culture of inclusion and belonging where everyone—regardless of background, race, religion, sexual orientation or gender identity—feels valued and respected is a foundation of our culture.

We are committed to being an equal opportunity employer and evaluate qualified applicants without regard to race, color, religion, sex, pregnancy (including childbirth, lactation and related medical conditions), national origin, age, physical and mental disability, marital status, sexual orientation, gender identity, gender expression, genetic information (including characteristics and testing), military and veteran status, diversity of thought and any other characteristic protected by applicable law.