ALM Modelling Actuary
Location Cape TownFULL_TIME
Consultant Mavis Filifana
Date posted 17 October 20192019-10-17 2019-12-16 accountancy Cape Town Western Cape Parc Du Cap 6, Mispel Road, Bellville, Cape Town ZA 7530 ZAR 500000 800000 800000 YEAR Robert Walters https://www.robertwalters.co.za https://www.robertwalters.co.za/content/dam/robert-walters/global/images/logos/web-logos/square-logo.png
Role Purpose: This position reports to the Head: ALM function within Balance Sheet Management. This role forms part of a team of experienced ALM practitioners, dynamic hedging specialists, programmers and actuaries in a fast-paced, innovation and delivery-orientated function. The position will be responsible for the technical implementation of cloud-based systems and processes that in support of the group's 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 at Group Finance & BSM.
Responsibilities and work outputs:
- The primary focus of the role will be on the development of technical modelling solutions within Python, SQL, and/or other modelling solutions and cloud-based platforms, in support of extending and enhancing the dynamic hedging capability deployed across group's shareholder risk appetite and policyholder product needs. This includes also the development of the Internal Model Office used for integrated balance sheet wide market risk management and risk appetite purposes.
- As a secondary focus, 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 a 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.
- Drive and support effective teamwork within the department.
- Engage in appropriate training interventions to promote own professional development.
- Ensure to demonstrate the company's values on a daily basis.
Experience and Qualifications:
- Must be a qualified or nearly qualified actuary. (All CTs; CA's and at least 1 ST).
- 3-5 years' relevant work experience.
- Must have a good track record of actuarial modelling and coding.
- Solid understanding of quantitative finance, including asset pricing models adopted in the valuation of financial derivatives.
- Experience in a Dynamic Hedging, Life Insurance ALM, Stochastic Modelling, or Corporate Actuarial context.
- Experience of corporate actuarial disciplines, including financial reporting and SAM.
- Exceptional programming and quantitative/actuarial skills, with a dedication to technical excellence.
- An attention to detail and a dedication to technical excellence.
- Drive for results.
- Able to manage stress, pressure and competing demands.
- Strong desire to add value and make a difference.
Self-starter - can run independently with complex projects.