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 and propose improvements, and liaise with clusters on liability translations and 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, develop and implement hedging strategies, 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, identify risks needing mitigation and propose risk management strategies.

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 activities.
• Experience in life insurance valuations and products, plus a deep understanding of financial markets, is advantageous.
• An actuarial background, quantitative finance knowledge and commercial acumen.
• 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
• Data analysis, statistical analysis techniques and data modelling
• Analytics software and business intelligence (BI) analysis
• Numerical aptitude and report review