ALM SPECIALIST at Patricia Smith Recruitment (Pty) Ltd

Key Objectives:

• Implementation of Asset and Liability Management systems and processes, including:
• Testing and implementation of changes to the ALM system,
• Documentation of models and processes.
• Execution of daily ALM aspects, including:
• Operating the ALM system, 
• Ensuring timely execution of trading orders within a given risk appetite.
• Reporting of Hedge Effectiveness and Risk Analysis.
• Setting mandates for Liability Driven Investment Managers and monitoring their performance against the relevant benchmarks.
• Reports and information for Actuarial, Finance and Management teams.
• Development and improvement of Hedging Strategies and sourcing of appropriate financial instruments.
• Input to the Product Development team from a Hedging and Capital Modelling perspective.
• Actuarial support to various business areas including Research, Product Development, New Business Pricing, Valuations, Reinsurance and Capital Management.

Requisite skills & competencies:

• Good understanding of Investment and Hedging Strategies, including Stochastic Modelling.
• Understanding of market consistent, risk neutral methodologies.
• Understanding of the principles of Financial Risk Management, including Market Risk, Credit Risk, Value at Risk and Extreme Value Theory.
• Knowledge of Annuities and Life Insurance business – beneficial.
• Programming experience – beneficial.
• Strong analytical and problem solving skills.
• Strong technical and computer skills.

Qualifications:

Newly / nearly qualified Actuary or Degree in Financial Risk Management / Actuarial Science.