John Cortese

- Led the cross-functional Asset Liability Management Committee as Committee Secretary.

- Led ALM for Protective’s $100B balance sheet.

- Broad responsibilities not limited to: Balance Sheet Modeling, Investment Strategies, Asset Allocation, Cash and Liquidity management, Reinsurance cashflow management.

- Responsible for reviewing and approving all derivative trading, supporting all annuity products.

Model Governance

- Led Model Governance across the bank’s Treasury model universe.

- Responsible for Model check/challenge across Treasury’s inventory, ensuring compliance with 2LoD Risk Policy and Standards, and in alignment with FRB FR 11-7.

- Partnered with Risk Management across model validations.

- Collaborated with Risk Management and Risk Control Self-Assessment (RCSA) and Issue Management teams. Experienced zero model breaches over tenure.

Led hedging strategies for both VA and EIA reinsurance engagements.

Led Hedge Strategy development and derivative trading; Rates, Equities, (Exchange Traded and OTC structures).

Facilitated collaborative efforts across Accounting, Finance, Valuation, Investments, IT, and Risk Management to ensure alignment and buy-in through inclusivity, transparency, and trust.

Achieved monthly VA hedge effectiveness exceeding 97% across tenure

Received executive recognition for devising a sophisticated derivative strategy that addressed a critical risk issue related to a pending Pension Risk Transfer opportunity.

Led Annuity Product and Macro Hedging,

Derivative instruments included US Rates, Equity Indices, and both exchange-traded and OTC derivatives structures (TRS, Vol Swaps, etc).

Partnered closely with the actuarial pricing team to identify and implement cost-effective hedge solutions.

Facilitated collaborative efforts across Product Development, Treasury (liquidity), Finance, Actuarial Valuation, Accounting, Investments, IT, and Risk Management to ensure alignment and buy-in through inclusivity, transparency, and trust.

Achieved monthly VA hedge effectiveness exceeding 97% across tenure through responsive and active derivative position management.

Built and led the division’s Fund Research Department to support VA product pricing and embedded derivative valuation. This function was critical in our ability to reduce ‘fund breakage’ and improve hedge effectiveness.

Global derivatives research and development supporting new product initiatives for the Exchange.