Investment Risk Specialist and Quant Research (Bryanston) at Eskom Pension and Provident Fund

Description

Conduct Risk Analysis and Quantitative Research 

• Independently (with minimal oversight and supervision) verify investment performance data using our multi asset class risk system to confirm data integrity and check that there are no outliers in terms of fund, market, benchmark and liability data.
• Compare data across performance and risk systems to ensure uniformity of data and run analysis on this performance data to produce usable information.
• Further carry out investigations on any identified outliers, drill down into the data and engage with our Investment Administration team and our various internal and external Portfolio Management teams.
• Conduct performance and risk analysis per portfolio, per asset class, providing interpretations and resolutions of investment issues and flagging points of concern.
• Identification of key risk drivers and attribute performance returns to those attributes with the aim of helping to maximise returns per unit risk.
• Inform and advise the office of the CIO on emerging trends and important analysis timeously.
• Build mathematical/statistical (including machine learning) models to support investment decision making and determine impact of investment decisions made.
• Work closely with or drive the design and implementation of quantitative research projects.
• Nurture the growth of junior staff in either risk management or quantitative research. 

Manage and monitor the Fund’s asset managers in terms of their portfolio mandates

• Monitor and evaluate the effectiveness of the investment decisions and optimisations of investment returns of the Fund’s asset managers (internal and external).
• Develop and maintain relationships with investment and banking communities which should enable access to market research, trends and statistics.
• Perform performance and risk-return analysis and provide recommendations to CIO as and when required.
• Assess and monitor investment portfolio and Fund level risks and performance attributions.
• Generate reports analysing investment performance.
• Assess performance against stated benchmarks.

Manage the Risk System

• Act as the Risk system super-user, ensuring availability of analysis on the system.
• Verify that the system is up to date.
• Verify that the scenario testing reports are set up within the system so that the system is adopted within business.
• Convert investment scenarios into Risk system definitions.
• Liaise with the Risk system provider on all issues, technical and otherwise.
• Develop customised reports.

Conduct ad-hoc research and analysis 

• Identify and conduct proactive risk analysis and quantitative research.
• Conduct this proactive analysis and research around changes in the risk profile of the Fund, market asset classes return drivers, and individual portfolio management (not an exhaustive list).
• Interpret ad-hoc analysis and research, identifying the need for follow-up analysis and research, and then conducting or facilitating that analysis or research.
• Advise the office of the CIO on the effects of blended decisions (the aggregation of all mandates within an asset class or of all the asset classes within the context of an investment strategy).
• Provide input into due diligence studies, alongside other stakeholders.

Requirements

TECHNICAL COMPETENCY REQUIREMENTS  

• In-depth knowledge and understanding of quantitative and risk financial practices, principles, and procedures. A proven track record of being able to translate these into practical application.
• Knowledge of legislation governing investments
• Knowledge of legislation governing JSE
• Knowledge of CFA Code of Conduct or other body espousing highest professional standards
• Knowledge and understanding of portfolio management process.
• Knowledge and understanding of asset classes and instrument types (including modelling, pricing and trading)
• Knowledge and understanding asset and liability modelling.
• In-depth skills of financial and investment modelling
• In-depth skills in programming, database and software management, machine learning will be advantageous.

REQUIRED MINIMUM EDUCATION/TRAINING

• Honors degree in mathematics, statistics or actuarial science, engineering or equivalent, including finance, investment or commerce. Master’s level degree will be advantageous.
• A professional certification or significant progress towards a Certificate in Investment Performance Measurement (CIPM), CFA, Financial Risk Manager (FRM) certification will be advantageous.

REQUIRED MINIMUM WORK EXPERIENCE

• At least 5 years job-related experience
• Exposure to Asset-Liability Modelling would be advantageous