Insurance Portfolio Optimization & Construction at KKR in New York

Summary: KKR is a leading global investment firm that offers alternative asset management and insurance solutions. They are seeking a quantitative investment analyst to enhance asset allocation, pricing, and optimization frameworks for insurance asset-liability management. Responsibilities: - Construct and optimize asset portfolios for reinsurance blocks and retail insurance products (annuities, life, PRT) - Develop asset allocation models incorporating regulatory capital requirements, duration matching, and cash flow needs - Support new business pricing by modeling optimal allocations and expected returns for proposed transactions - Enhance ALM framework to support deal evaluation and portfolio construction - Develop attribution frameworks to explain portfolio performance by asset class, sector, duration, and credit quality - Analyze market impacts including interest rate movements, credit spreads, and equity volatility - Monitor portfolios using quantitative approaches, coordinating with actuarial, risk, and finance teams - Prepare presentations for senior investment committees and portfolio managers - Expand platform to support new asset types (private credit, structured products, real assets) and liability types - Maintain and enhance quantitative models tailored to insurance investment processes - Work with IT teams to automate and institutionalize models, leveraging modern technology - Serve as quantitative resource, evaluating tools and recommending improvements Required Qualifications: - Bachelor's degree required; Master's or PhD preferred in Mathematics, Statistics, Finance, Engineering, Economics, Actuarial Science, or related quantitative field - 0–3 years in fixed income portfolio management, insurance asset management, quantitative research, or related areas - Strong programming proficiency in Python (required) - Experience with large datasets and quantitative methods - Proficiency in Excel and PowerPoint Preferred Qualifications: - Prior exposure to insurance products or ALM is a plus - Familiarity with Bloomberg, FactSet, or risk systems (MSCI, Barra, Bloomberg PORT) a plus Required Skills: Insurance Asset-Liability Management (ALM), Fixed Income Portfolio Management, Insurance Asset Management, Quantitative Research, Python Programming, Quantitative Methods, Large Dataset Analysis, Excel, PowerPoint, Bloomberg, FactSet, Risk Systems MSCI, Risk Systems Barra, Risk Systems Bloomberg PORT