Associate, Portfolio Analytics | PGIM Strategic Capital Group (Hybrid / Newark, NJ)
Core
Build stochastic models and macro-factor/asset-level models to enhance a proprietary economic scenario generator for dynamic portfolio optimization and asset-liability management.
Role type
Quantitative Portfolio Analyst (Asset-Liability Management)
Builds
Dynamic portfolio optimization platform and economic scenario generators for institutional clients
Domain
Asset Management / Quantitative Finance / Insurance
Deliverable
production ML models
Required skills
Stochastic modeling, Probability theory, Statistics, Python (pandas, numpy, scipy), Options theory, Fixed income analytics, Yield curve construction, CAPM, Transformer technology, Foundation models
Preferred skills
Structured products, Private credit, Real estate debt, Private equity, Insurance liabilities, Asset-liability management concepts, Macroeconomic frameworks
Technologies
Python, pandas, numpy, scipy, Transformer models, Foundation models
Responsibilities
Build stochastic models to enhance economic scenario generators, Contribute to macro-factor and asset-level models, Develop techniques to analyze emerging asset classes with sparse data, Develop methodology for attributing asset-liability metric changes to risk factors, Apply quantitative and AI-based methods to investment strategy problems, Model investment strategies across public, private, and structured asset classes
Seniority
Mid-level, hands-on IC