Munich Re Markets GmbH - Quantitative Structurer (m/f/d)

About the role:

The person for this role mainly supports the structuring of bespoke risk management solutions for the Munich Re Markets (MRM) division. The job involves developing and analysing structured solutions, risk assessment, project management and coordination with sales and headquarter functions.

Munich Re Markets GmbH is seeking to engage a quantitative structurer to enhance its ability to deliver this business.

Key Responsibilities:

• Development of relief transaction concepts taking into account the following non-exhaustive factors:
  • Specification of cashflows and balances to be exchanged under a given transaction concept
  • Economic deliverability of a given concept within the boundaries of MRM risk management and risk tolerance
  • Profitability of a given concept for MRM
  • Economic impact of a given concept on the client and the likely client reaction to such impact
  • Impact of a given concept on the client's key quantitative metrics
• Analyse and model risk factors (equity, rates, credit, fx, mortality, lapse) using quantitative and actuarial techniques
• Development of suitable approach documents for the presentation of a given transaction concept (e.g. presentations, illustrative models, introductory correspondence, technical notes)
• Develop, implement and improve risk-neutral pricing models for capital-markets-linked reinsurance transactions
• Build cashflow simulations, scenario engines and sensitivity frameworks using advanced stochastic methods
• Perform back-testing and assess transaction impacts on balance-sheet, regulatory and economic metrics
• Validate and enhance existing modelling approaches; design robust, production-ready tools and libraries
• Collaborative interaction with multi-disciplinary colleagues in the development of relief transaction concepts, including relevant content experts and origination partners
• Proposal delivery:
  • Presentation of solutions to clients at all relevant management levels with ability to proficiently communicate technical and strategic features of transaction
  • Dynamic ongoing interaction with relevant client personnel during client evaluation processes, including explanatory follow up communication, investigation of previously unidentified transaction issues/blockers unearthed during exchanges, preparation of supplementary materials to support client evaluation
  • Evaluation of client corporate and personnel motivation circumstances to support MRM assessment of transaction engagement and execution probabilities

Key Skills & Experience:

• Degree in mathematics or physics (Master/PhD), insurance / financial mathematics
• 3+ years of relevant professional experience in the area of life reinsurance, life insurance, wholesale banking or related activities
• Deep understanding of stochastic calculus, derivative pricing and risk-neutral valuation principles,
• Comfortable working with complex models and large simulation frameworks; extreme attention to detail,
• Professional programming experience, ideally in Python, including model implementation, testing and automation,
• Exceptional presentation skills, particularly in the communication of complex ideas
• Fluent English speaker (other languages also advantageous)
• Strong analytical and conceptual skills
• Intrinsic motivation, commercial instinct, joy in deal making

This is a job posting from:

Munich Re Markets GmbH
Mandlstraße 3
80802 München