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Job Description
Role Overview:
The Asset & Liability Management (ALM) team is a key part of the Treasury & Financial Markets function. The team focuses on strategic asset liability management, quantitative analytics 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 strategic ALM, funding management, liquidity management, quantitative finance, complex legal, tax and regulatory issues, and corporate financial strategy.
The role will form part of the Old Mutual South African Asset & Liability Management function and drive its operational practices and processes, as well as the measurement and reporting of key financial risks.
Key Result Areas:
ALM processes
Drive ALM processes ensuring accuracy, managing timelines and proposing process improvements.
Communicate and engage with the various Clusters 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.
Collection and analysis of quantitative financial data for use in market, credit and liquidity risk decision making.
Consolidation and meaningful presentation of analysis results for a range of stakeholder groups.
Working effectively within a team to design and execute quantitative experiments.
Develop & implement ALM hedging strategies
Investigation of key risks requiring mitigation.
Monitoring of the effectiveness of hedging strategies.
Conceptualisation and development of appropriate hedging strategies, allowing for changes in the market.
Product development & reviews
Assistance in the development of innovative product offerings with a focus on investment and ALM strategies.
Ensuring appropriate management of market and liquidity risks introduced onto the balance sheet by new products.
Development of appropriate financial modelling solutions for pricing, monitoring and managing market, credit and liquidity risks, and support of the review and refinement of existing models.
Deep dive reviews of guaranteed liabilities and associated asset strategies for Old Mutual.
General
Assistance with ad-hoc strategic ALM projects.
Where required, identification of risks requiring additional mitigation and proposal of a relevant risk management strategy.
Qualifications, Skills and Experience:
Essential: relevant post-graduate degree (e.g. Finance, Financial Engineering, Quantitative Analytics, Actuarial).
Additional professional qualification (e.g. FASSA, FIA, CFA, CERA, FRM) advantageous.
6+ years' ALM 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, advantageous.
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 to 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 responds 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…