Director - PFE Production - Manulife Financial - Boston

Job description
Title: Director, PFE Analystics, Global Derivative Services
Department: Derivatives Middle Office, Investment Division
Reports To: AVP, Derivatives Performance & Analysis
General Accountability

The Global Derivative Services has the mandate to manage the valuation and risk measurement processes for financial reporting.
The PFE Analytics group supports the production environment used to compute Potential Future Exposure (PFE) for measuring the counter-party risk of our trading activities. This work requires collaboration with Investments, Risk Analytics, Credit Risk Management, ALM, and Global Information Services.

Reporting to the AVP, Derivatives Performance & Analysis, this position is based in the Boston Office and focuses on implementation of PFE methodology in the Findur Transaction Lifecycle Management System.

Responsibilities
Implement financial models for computing potential future exposure in Findur;
Understand statistical modelling of stochastic models of risk factors for computing changes credit exposures of financial derivatives used in the Findur PFE engine;
Update processes for PFE engine parameter calibration, risk curve construction, and maintenance;
Initiate and conduct multiple information gathering sessions with business and IT partners to determine business needs and implement PFE enhancements;
Provide leadership and mentoring to junior team members;
Develop work plans that prioritize business needs of all stakeholders, establish project deliverables, timelines, and budget;
Exercise judgment in identifying issues, modifying plans as demands change, assessing courses of action, and developing recommendations;
Participate in ad-hoc projects;
Run manual PFE for portfolios not integrated into the PFE engine;
Conduct deal pre-checks for Front Office as needed;

Knowledge/Skills/Competencies/Education

Education And Experience Requirements
An extensive experience in statistical analysis (Masters in Financial Engineering/Statistics, or other quantitative discipline).
Five plus years of experience in econometric modelling, stochastic modelling, as well as other numerical techniques.
Five plus years of experience in credit risk modeling in relation to derivatives portfolios.
Five plus years of direct experience implementing/running PFE at a large financial institution.
Technical Skills
An understanding of probability theory (random variable, distributions, expectations, convergence), statistical methods (parametric and non-parametric estimation, linear and non-linear regression, maximum likelihood estimation, Bayesian inference), time series analysis, computational statistics.
Programming experience in VBA, SQL, EXCEL, or MATLAB;
An understanding of derivative valuation modeling and market data setup;
Management and Personal Effectiveness
Excellent analytic and problem solving skills.
Excellent communication and documentation skills
Ability to build strong working relationships with various business units, and other departments across Manulife.

Problems/Challenges
This role involves interacting with multiple business units and understanding their modelling requirements. Business users may not be able to articulate their requirements in a mathematically precise manner. These requirements will need to be conceptualized in terms of an analytic solution that solves a business need.
Complex economic model implementation and quantitative analysis need to be done in a meticulous manner to ensure correctness.
Complex quantitative analysis needs to summarized and communicated in a manner that can be understood by diverse audience of business users and senior managers, with varying technical skills.
Position Dimensions (Organizational Impact):

This position is directly tied to the firm being able to calculate and publish Front Office trading limits for all derivative contract counter-parties Manulife has a relationship with. It is a mission critical position which affects all derivatives trading within the firm.

The current derivatives portfolio is approximately $300 billion notional outstanding.

The position will have one analyst reporting.

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