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The Middle Office of Global Derivative Services has the mandate to manage: 1) the ongoing derivatives valuation processes; 2) Potential Future Exposure (PFE) modeling; 3) hedge effectiveness assessment testing; and 4) Variable Annuity (VA) hedging reporting and operations. These four functions are performed for financial, regulatory, compliance and internal reporting purposes.
The Derivatives Valuation and Analytics function is accountable for ensuring correct ongoing valuation of all derivatives within the organization booked in the Findur system, offline, as well as for providing reporting on these positions to internal business users. The candidate will also have understanding of the daily PFE production that quantifies the counterparty credit risk of the firm’s derivative trading activities, and understand performance attribution of derivative portfolios. In addition, the position is responsible for the on-going hedge assessment function, which includes effectiveness testing, hedge inception documentation, reporting, and managing the support systems involved. Due to its breadth, this role requires collaboration across the organization including interaction with front office, business units, risk, credit, finance, compliance, audit and technology personnel.
Reporting to the AVP, Derivatives Middle Office, this position is based in the Toronto head office and services the derivatives activity of both the General Account and Asset Management arms of the business.
Work closely with business units, portfolio managers and front office to assess requirements of valuing new and existing derivatives positions, sensitivity analysis for existing positions;
Interface with Models & Analytics, Market Risk Management and Derivatives Operations teams to implement new curves and models in the Findur pricing system;
Work with the Derivatives Solutions team to support the setup of technology to facilitate trading of new derivative product types;
Conduct risk testing and scenario analysis for internal business units;
Monitor and report derivatives positions to satisfy regulatory and compliance requirements;
Develop and maintain controls to ensure derivatives are valued correctly in the system;
Reconcile mark-to-market differences with the counterparty and communicate issues to Collateral and Investment Risk teams;
Take ownership of projects to enhance risk controls and reporting;
Continuously evaluate, identify and recommend practices and controls that will increase process efficiency and mitigate financial and operational risks;
Enhance Findur system capabilities to support effectiveness testing for new hedge accounting strategies;
Develop a control framework to ensure hedge relationships are tracked and properly processed for financial reporting;
Review automated hedge effectiveness assessment testing at quarter ends and perform manual testing as needed;
Implement financial models and curves for pricing derivative trades and computing potential future exposure in Findur;
Perform impact analysis on PFE of proposed trades as requested by front office;
Prepare daily VAH Hedging Performance Attribution reports, macro hedging reports, and design and implement ongoing enhancement to those reports.
Support daily VA Hedging operations and prepare / distribute weekly, quarterly and annual reporting to senior management and affected business units.
Assist with process updates for PFE engine parameter calibration and maintenance, and conduct pre-deal checks for front office as needed;
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 across groups as needed. Support the assignments above for both the General Accounts and Manulife Asset Management.
Education and Experience Requirements
Education in business finance, quantitative finance or statistical analysis (Masters in Financial Engineering / Mathematical Finance / Statistics) or other quantitative discipline.
Six to ten years of hands-on experience with derivative products. Familiarity with derivative instruments including futures, equity options, FX forwards, OTC and centrally cleared interest rate swaps, swaptions, bond forwards, cross-currency and total return swaps, interest rate caps & floors, FX options, and credit default swaps.
Similar levels of experience with derivative pricing curve construction, including projection and discounting curves, LIBOR and OIS swap curves, FX forward points, repo curves, cross currency basis spreads, inflation curves, survival and recovery curves, dividend curves and volatility surfaces/cubes.
Familiarity with derivative trading and collateral agreements such as Clearing Agreements and ISDAs/ CSAs.
Advanced knowledge of derivative valuation models including Black-Scholes, Hull-White, normal swaption, Asian floor, and standard quanto;
Understand statistical / stochastic models of risk factors for computing changes in credit exposures of derivatives in PFE calculations;
Experience with hedge effectiveness assessment testing and performance attribution analysis for derivatives;
CFA and/or FRM/ PRM designations preferred.
Programming experience in VBA, SQL, EXCEL, MATLAB and/or Python an asset.
An understanding of market data setup and market conventions.
Experience with Findur system an asset.
Management and Personal Effectiveness
Excellent analytical and problem-solving skills.
Solid organizational skills and high degree of professionalism combined with the ability to readily adapt to changing environments and deal with competing priorities.
Excellent communication and documentation skills. A team player with demonstrated abilities for building and maintaining good working relationships both internally and externally, and up, down and across a large organization.
Demonstrated ability and experience managing and coaching several direct reports (preferably in other locations) and leading a team of highly educated professionals.
If you are ready to unleash your potential it’s time to start your career with Manulife/John Hancock.
Manulife Financial Corporation is a leading international financial services group that helps people make their decisions easier and lives better. We operate primarily as John Hancock in the United States and Manulife elsewhere. We provide financial advice, insurance, as well as wealth and asset management solutions for individuals, groups and institutions. At the end of 2018, we had more than 34,000 employees, over 82,000 agents, and thousands of distribution partners, serving almost 28 million customers. As of December 31, 2018, we had over $1.1 trillion (US$794 billion) in assets under management and administration, and in the previous 12 months we made $29.0 billion in payments to our customers.
Our principal operations in Asia, Canada and the United States are where we have served customers for more than 100 years. With our global headquarters in Toronto, Canada, we trade as ‘MFC’ on the Toronto, New York, and the Philippine stock exchanges and under ‘945’ in Hong Kong.
Manulife is committed to supporting a culture of diversity and accessibility across the organization. It is our priority to remove barriers to provide equal access to employment. A Human Resources representative will consult with applicants contacted to participate at any stage of the recruitment process who request an accommodation. Information received regarding the accommodation needs of applicants will be addressed confidentially.
To apply for this job please visit manulife.wd3.myworkdayjobs.com.