VP Investment Risk

The Vice President, Investment Risk reports to the Chief Investment Officer and is a highly visible position within the Company that will interact with members of senior management, the Board of Directors, and several internal constituencies across the organization. The position will be responsible for leading the investment risk management function.  Primary responsibilities include identifying, assessing, measuring and reporting on the risk of the portfolio, leading the efforts around asset allocation and portfolio construction, collaborating with internal and external constituencies, and following specific areas of the market and conducting ad-hoc investment research. 

ESSENTIAL DUTIES

• Lead the investment risk management function of the investment portfolio, including developing and maintaining a risk management framework to drive portfolio construction, asset allocation, risk budgeting, and portfolio surveillance efforts. Identify and monitor key risk trends in the portfolio, and recommend portfolio changes as necessary to maintain risk limits.
• Collaborate with the investment team on evaluating investment opportunities across public and private asset classes/sectors, and its impact on risk and portfolio fit. Independently assess the merits and risks associated with prospective investment opportunities. Recommend appropriate sizing and risk limits based on a risk management framework and risk budget.
• Evolve internal stress testing and scenario analyses, and develop a risk budgeting framework for managing overall risk tolerance.
• Assist on advancing the integration of ESG risk factors into the investment process, including the development and tracking of material portfolio ESG risk factors.
• Serve as an independent, objective, and analytical voice on the investment team.
• Conduct performance attribution analysis on the portfolio and related sub-strategies. Maintain oversight and ensure compliance of the investment policy and external manager guidelines.
• Recommend modifications to investment policies and benchmarks when appropriate, and maintain oversight and ensure compliance of the investment policy and external manager guidelines.
• Work with members of the ERM team on capital modeling and stress testing, and understanding the portfolio’s contribution to overall enterprise risk. Lead and manage the BRS Aladdin (or comparable risk management tool) relationship.
• Keep abreast of trends and developments in the investment and insurance industry, including new products, accounting standards, and regulations.
• Monitor investment and economic environment for market/portfolio opportunities and risks.

KNOWLEDGE AND REQUIREMENTS

Strong investment acumen skills, including:

• Proven analytical and problem-solving skills, and an attention to detail and process
• Extensive risk management experience in quantitative modeling, stress testing, scenario analysis, historical simulation, performance attribution, and other approaches to understanding and managing portfolio risk
• Experience in strategic asset allocation, portfolio management, credit analysis, and allocating capital across a broad range of investment asset classes
• Knowledge and experience with ESG & sustainability risk factors and investing is a plus
• Proficiency in Microsoft Office and Bloomberg
• Experience and proficiency in using BlackRock Aladdin for risk is a plus

Excellent interpersonal and communication skills (oral and written), including:

• Strong verbal and written presentation skills
• Ability to communicate complex issues in an understandable manner
• Ability to work closely with our external managers to understand their strategy and risk characteristics
• Ability to work independently, while being able to work as an integral part of a team. Collaborate with investment team members and other internal departments, including Accounting and Enterprise Risk, to foster a culture of risk awareness and partnership across the enterprise
• Regularly presenting to the Management Investment Committee and Finance Committee of the Board of Directors

EDUCATION AND EXPERIENCE

• College degree or equivalent required
• Masters in Business Administration (MBA), and/or Chartered Financial Analyst (CFA), and/or Chartered Alternative
  Investment Analyst (CAIA) designation strongly preferred
• 10+ years of relevant knowledge and investment experience across public and private asset classes, especially in fixed income
• Investment experience in re/insurance industry and knowledge of GAAP and Statutory accounting preferred