Junior Data Scientist (m/f/d) in Global Asset Liability Management Team Junior Data Scientist (m/f/d) in Global Asset  …

Allianz SE...
in München, Bayern, Deutschland
Festanstellung, Vollzeit
Letzte Bewerbung, 20 Okt 21
competitive
Allianz SE...
in München, Bayern, Deutschland
Festanstellung, Vollzeit
Letzte Bewerbung, 20 Okt 21
competitive
Member of the Global ALM and Strategic Asset Allocation Team in Munich. The job is primarily focused on developing quantitative methods, Machine learning algorithms and tools to support asset-liability management of Life/Health (L/H) investment portfolios.

Key Responsibilities

  • Develop expertise in L/H actuarial cash-flow models. Perform ALM analysis by simulating various what-if scenarios (e.g. changes in asset allocation) in the cash-flow models and analyzing the impact on various KPIs (e.g. Solvency- II, IFRS 9/17).
  • Apply Machine learning techniques (supervised and unsupervised, such as gradient boosting and deep learning) for risk / return optimization for L/H portfolios. Develop and maintain end-to-end software prototypes (e.g. in Python/R).
  • Further develop existing analytical models and tools to evaluate investment strategies and asset allocation decisions in L/H portfolios.
  • Cooperate and share data science best practices with other teams within AIM and Operating Entities located in different countries.

Key Requirements/Skills/Experience
Qualifications

  • Master Degree in Finance, Economics or Quantitative subjects
  • Very good IT and programming skills; knowledge of Python, Visual Basic, C/C++ or other programming languages is a plus
  • First experience with Machine learning techniques
  • Fluent English written and spoken; knowledge of German and/or another language is a plus


Skills

  • 1-3 years of experience in investment function of insurance, banking or asset management company
  • Good knowledge of capital markets, financial modeling and instruments including derivatives
  • Good understanding of portfolio optimization techniques, accounting and insurance regulation
  • Strong team player, responsible and dependable with entrepreneurial attitude
  • Good presentation and communication skills
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