Quantitative Risk Analyst
Sandton

The role will focus on managing the Asset & Liability Management (ALM) team. This includes owning the operational practices and processes, as well as on the management and reporting of key financial risks.

ALM processes
• Drive ALM processes ensuring accuracy, managing timelines and propose process improvements
• Communicate and engage with the various segments within the company 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

• Essential: Relevant post-graduate degree (e.g. Finance, Financial Engineering, Quantitative Analytics, Actuarial)
• Additional professional qualification (e.g. FASSA, FIA, CFA, CERA, FRM) an advantage
• 6+ 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
• Able to run and manage projects with durations varying between 3 to 6 months with a focus on remaining accountable until delivery of results
• Must possess a wide range of skills and knowledge, including an actuarial background, quantitative finance, regulations and commercial acumen
Advanced Excel skills essential. Ability to build/optimise financial models using a combination of C#, Python, VBA or similar 13.8lo