Quantitative Risk Analyst - ALM

About the role

The Asset & Liability Management (ALM) team sits within the Treasury & Financial Markets function and focuses on strategic asset-liability management, quantitative analytics and funding management. This Quantitative Risk Analyst role forms part of the Old Mutual South African ALM function and drives its operational practices, the measurement and reporting of key financial risks, and the quantitative analysis of risk exposures.

Key responsibilities

• Drive ALM processes with accuracy, manage timelines, propose improvements and identify opportunities to optimise the ALM strategy
• Engage with Old Mutual's clusters on liability translations and the alignment of liabilities with hedging instruments
• Develop and maintain tools for quantitative analysis of risk exposures and strategy performance, and analyse quantitative financial data for market, credit and liquidity risk decisions
• Design and run quantitative experiments and present analysis results to stakeholders
• Develop and implement ALM hedging strategies, investigate key risks and monitor their effectiveness
• Support product development and reviews, including financial modelling for pricing and monitoring of market, credit and liquidity risks, and reviews of guaranteed liabilities
• Help with ad-hoc strategic ALM projects and propose risk mitigation strategies where needed

Required profile

• Relevant post-graduate degree (e.g. Finance, Financial Engineering, Quantitative Analytics, Actuarial)
• 6+ years of ALM and/or actuarial finance experience in an insurance entity, with a focus on asset and liability management and Group Treasury
• Experience in life insurance valuations and products, plus a deep understanding of financial markets, is advantageous
• Ability to work with light-touch supervision, manage 3- to 6-month projects and communicate complex ideas clearly

Required skills

• Actuarial background and quantitative finance
• Statistical analysis techniques and data modelling
• Analytics software and business intelligence (BI) analysis
• Additional professional qualification (e.g. FASSA, FIA, CFA, CERA, FRM) is advantageous