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Quantitative Risk Analyst (ALM)

Employer
Old Mutual Limited Ltd.
Location
Johannesburg Johannesburg, Gauteng Gauteng, South Africa
Salary
Competitive
Closing date
Jul 8, 2024

View more

Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Let's Write Africa's Story Together!

Old Mutual is a firm believer in the African opportunity and our diverse talent reflects this.

The Group Treasury team is a key part of the Group Balance Sheet Management function. The team focuses on asset liability management, quantitative analytics, treasury management and funding management initiatives and investigations.

This is a dynamic team, with a strong focus on technical fluency and disciplined stakeholder engagement. Members of the team can be expected to gain broad exposure to areas such as treasury management, funding management, liquidity management, quantitative finance, complex legal, tax and regulatory issues, and corporate financial strategy.

The role will focus primarily on Old Mutual's Asset & Liability Management (ALM) practices and processes, as well as on the management and reporting of key financial risks.

Key Result Areas

ALM processes
  • Drive ALM processes ensuring accuracy, managing timelines and propose process improvements
  • Communicate and engage with the various segments within Old Mutual with respect to liability translations involving alignment between liabilities and hedging instruments
  • Identify opportunities for ALM strategy optimisation

Financial Analysis
  • Development and maintenance of relevant tools to perform quantitative analysis and interpretation of risk exposures and strategy performance
  • Collects and analyses quantitative financial data for use in market, credit and liquidity risk decision making
  • Consolidates and presents results of analyses meaningfully for a range of stakeholder groups
  • Works effectively within a team to design and execute quantitative experiments

Develop & Implement ALM Hedging Strategies
  • Investigate key risks requiring mitigation
  • Monitor effectiveness of hedging strategies
  • Conceptualise and develop appropriate hedging strategies allowing for changes in the market and IFRS17 considerations

Product Development & Reviews
  • Assist in the development of innovative product offerings with a focus on investment & ALM strategies
  • Ensure appropriate management of market and liquidity risks introduced on to the balance sheet by new products.
  • Develops appropriate financial modelling solutions for pricing, monitoring and managing market, credit and liquidity risks, and supports the review and refinement of existing models
  • Deep dive reviews of guaranteed liabilities and associated asset strategies for Old Mutual
  • Support on Corporate Annuity deal pricing and hedging

General
  • Assist in ad-hoc strategic ALM projects
  • Where required, identify risks requiring additional mitigation and propose a relevant risk management strategy

Qualifications, Skills and Required Experience
  • Essential: Relevant post-graduate degree (Actuarial, Finance, Financial Engineering)
  • Additional professional qualification (e.g. FASSA, FIA, CFA, CERA, FRM) an advantage
  • 3+ years' balance sheet management and/or actuarial finance experience within an insurance entity with a specific focus on asset and liability management and other Group Treasury activities
  • Experience in life insurance valuations/ product together with a deep understanding of financial markets an advantage
  • Ability to work with light-touch supervision on projects or tasks
  • Strong communication skills including an ability to explain complex concepts and key issues effectively with the broader team
  • Capacity to take accountability for complex and potentially ambiguous pieces of work
  • Able to run and manage projects with durations varying between 3 to 6 months with a focus on remaining accountable until delivery of results
  • Dynamically respond to work requirements and changing situations
  • Pragmatic, and solution-focused; able to make trade-offs balancing between deliveries, and risks/costs
  • Must possess a wide range of skills and knowledge, including an actuarial background, quantitative finance, regulations and commercial acumen
  • Track-record of being able to work efficiently with seniors and subordinates, teams in and out of the organization, and consultants to ensure delivery
  • Communicate with various role-players to obtain the appropriate level of input, buy-in, and approvals for delivery
  • Advanced Excel skills essential. Ability to build/optimise financial models using a combination of C#, Python, VBA or similar an advantage

Competencies
  • Execution
  • Strategic
  • Leading with Influence
  • Personal Mastery (Learning)
  • Collaboration (Relating)
  • Innovation (Perspective)
  • Customer First

Skills

Education

Honours Degree (Hons) (Required)

Closing Date

06 July 2024

The appointment will be made from the designated group in line with the Employment Equity Plan of Old Mutual South Africa and the specific business unit in question.

Old Mutual Limited is pro-vaccination and encourages its workforce to be fully vaccinated against Covid-19.

All prospective employees are required to disclose their vaccination status as part of the recruitment process.

Please refer to the Old Mutual's Covid-19 vaccination policy for further detail. Kindly note that Old Mutual reserves the right to reinstate the requirement to vaccinate at any point if it is of the view that it is imperative to do so.

The Old Mutual Story!

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