ALM System Senior Specialist / ALM System Actuary at Momentum Metropolitan Holdings Limited

Requirements

• Minimum 2 years work experience, with preference for 3-7 years.
• Actuarial student / recently qualified actuary with strong credentials in programming. Candidates with a PhD or Masters level degrees in mathematics, banking, quantitative financial economics, and advanced programming experience and an exceptional academic record will also be considered.
• Expertise in Python, or other similar languages, and a passion for finding automated programmable solutions to highly complex actuarial, quantitative finance and ALM problems.
• Experience in cloud computing (e.g. AWS) and database structures (e.g. SQL Server) would be advantageous.
• An understanding of quantitative finance, including asset pricing models adopted in the valuation of financial derivatives would be advantageous.

Duties & Responsibilities

• Functional development and maintenance of the group’s in-house ALM System, hosted on AWS. The ALM System spans daily market data feeds, internal fund prices, yield curve bootstrapping, stochastic asset return modelling, liability cash flow modelling, proxy liability modelling, hedging benchmark specification, performance attribution and dashboard reporting implemented within a fully automated production-state process and control environment.
• Business level co-ownership, in close collaboration with Group IT, of cloud platform architecture maintenance (on AWS), Python version controlling, database utilisation, hardware (incl GPU) selection optimisation, process pipeline management, backup management, Disaster Recovery, security protocols, cost monitoring.
• Contribute towards a range of functional deliverables of the ALM function, such as the daily Dynamic Hedging process, integrated Risk Appetite modelling, Liability Driven Investment mandate optimisation, ALM risk adjusted performance monitoring, real world and risk neutral ESG calibrations, non-hedgeable risk pricing, market risk transfer processes, product design support to segments, and executive stakeholder reporting.
• Engage with segments to understand economic and accounting liabilities and their market risk features and translate them to ALM needs.
• Drive and support effective teamwork within the department.
• Engage in appropriate training interventions to promote own professional development.
• Ensure to demonstrate the company's values on a daily basis.
• Competencies
• An attention to detail and a dedication to technical excellence.
• Drive for results.
• Able to manage stress, pressure and competing demands.
• Strong desire to add value and make a difference.
• Self-starter - can run independently with complex projects.