Thomas Christensen Email & Phone Number

Columbus, Ohio Area

• Quantitative investments professional with focus on use of derivatives for hedging, portfolio management, and management of market risk
• Hedge Execution:Automated liability guarantee hedge program execution to achieve delta-neutrality and minimize execution costs, including selection and use of execution algorithms to assistAutomated options trading.
• Market and Counterparty Risk:Modernized value-at-risk model to allow for quicker end-to-end processing and the ability to quantify the impact of potential trades on counterparty VaR and liquidity; ability to use model.
• Industry Participation:Assisted in designing an underlying index to help maximize crediting guarantees via rules-based approach across a diversified set of foreign and domestic equities, and interest rate indices, to.
• Committees:Product Risk CommitteeHedge Oversight GroupInvestments IT Steering CommitteeInvestments Model Risk CommitteeProprietary Index Review Committee

Columbus, Ohio

• Hedge design and execution for variable annuity, equity indexed annuity and indexed life insurance guarantees
• Hedge Design: Development of hedging strategies designed to manage equity and interest rate exposure of insurance guarantees under economic, statutory and capital frameworks Increased focus on hedge strategies under a.
• Hedge Execution:Hedge utilizing trading instruments across numerous asset classes: futures, total return swaps, interest rate swaps, vanilla options and structured instruments Responsible with communicating aspects of.
• Hedge Pricing:Evaluation of hedge costs, impact on profit-loss and resulting risk profile for fixed income annuity fundsHedge costs, and effectiveness, under static and dynamic hedge frameworks for product pricing.
• Management:Manage staff involved in hedging implications for product pricing, proprietary indices and trading executionFrequently present hedging concepts, hedging frameworks and hedging results to senior.

• Maintenance and updating of hedge processes for current and new products, and asset classes
• Hedge Modeling: Responsible for maintaining hedge model used for trading execution Coding and implementation of new liabilities and hedge assets into hedge models (MatLab) Versed in standard modeling techniques.
• Hedge Reporting: Weekly hedge attribution report used to determine hedge effectiveness and provide feedback for hedge trading Quarterly hedge income used to forecast variable annuity financials

• Fixed annuity and immediate annuity valuation models (ALFA)
• Valuation Modeling: Initial coding of Actuarial Guideline 43 for variable immediate annuities into valuation model
• Valuation Reporting: Quarterly Statutory, GAAP and Tax reserves for immediate annuities Liquidity report for variable annuity fixed option, fixed annuity and immediate annuity general account assets FAS 107 and FAS 115.
• Policyholder behavior studies used for variable annuity annual assumption changes: Non-GMWB partial withdrawals GMWB wait times
• Managed actuarial rotation students

• Management of variable annuity and fixed annuity products
• Valuation Modeling: Developed a Visual Basic program to create variable annuity policy files for valuation modeling (ALFA) Coded variable annuity living benefits (GMIBs, GMABs and GMWBs) into valuation model Coded.
• Financial Reporting: Quarterly variable annuity risk report outlining benefit value at risk profiles
• Sales Support: Directed non-forfeiture compliant fixed annuity crediting strategies Actuarial support for variable annuity illustration marketing tool Designed application for underwriting team to evaluate large.
• Managed actuarial intern