Asset Liability Modelling (ALM) Specialist
Location Cape TownFULL_TIME
Consultant Mavis Filifana
Date posted 27 May 20192019-05-30 2019-07-26 financial-services Cape Town Western Cape Parc Du Cap Complex, Mispel Road, Bellville, Cape Town ZA 7530 ZAR 700000 800000 800000 YEAR Robert Walters https://www.robertwalters.co.za https://www.robertwalters.co.za/content/dam/robert-walters/global/images/logos/web-logos/logo.gif
A listed South African financial services group is looking for an Asset Liability Modelling (ALM) Specialist. Role Purpose: This position reports to the Head: ALM function within Balance Sheet Management. As an Asset Liability Modelling (ALM) Specialist, this role forms part of a team of experienced ALM practitioners, dynamic hedging specialists and actuaries in a fast-paced, innovation and delivery-orientated function. The position will be responsible for the technical implementation of systems, tools, processes and methodologies that are needed for the Groups ALM and dynamic hedging platforms both in respect of the management of existing exposures as well as the design and launch of new product features.
•The primary focus of the role will be on the development of technical modelling solutions within Python, SQL, and/or other modelling solutions and web-based platforms, in support of extending and enhancing the dynamic hedging capability deployed across the Group’s shareholder risk appetite and policyholder product needs. This includes also the development of the Group Internal Model Office used for integrated balance sheet wide market risk management and risk appetite purposes
• Expected to increase over time, contribute towards a range of functional deliverables of the ALM function, such as the daily Dynamic Hedging process, integrated Risk Appetite modelling, Liability Driven Investment mandate optimisation, ALM risk adjusted performance monitoring, real world and risk neutral ESG calibrations, non-hedgeable risk pricing, market risk transfer processes, product design support to centres of excellence, and executive stakeholder reporting
• Act as strategic business partner to internal and external stakeholders, including LDI portfolio management, corporate actuarial and enterprise risk functions; building sound relationships and pro-actively seeking ways to add value
Qualifications and experience:
• Financial services experience is essential
• Expertise in Python, or other similar languages, and a passion for finding automated programmable solutions to highly complex problems
• Qualified or nearly qualified Actuary would be advantageous. Candidates with a PhD or master’s level degrees in mathematics, banking, quantitative financial economics and/or advanced programming, with proven applied experience in the financial service sector, will also be considered
• An understanding of quantitative finance, including asset pricing models adopted in the valuation of financial derivatives
• Must have 3-7 years’ work experience. Experience in a Dynamic Hedging, Life Insurance ALM, Stochastic Modelling, or Corporate Actuarial context
• Experience of corporate actuarial disciplines, including financial reporting and SAM would be advantageous
If you meet the above requirements, please apply online.