Quantitative Risk Specialist (RoA ALM) at Old Mutual

Job Description

• The Group Treasury team is a key part of the Group Balance Sheet Management function.  The team focuses on asset liability management, quantitative analytics, treasury management 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 treasury management, funding management, liquidity management, quantitative finance, complex legal, tax and regulatory issues, and corporate financial strategy.

The role will focus primarily on Old Mutual’s Rest of Africa (RoA) businesses, with a key focus on improving Asset & Liability Management (ALM) practices and processes, as well as on the management and reporting of key financial risks.

The role reports to the Head: Asset & Liability Management (Group Treasury).
ALM Balance Sheet Reviews

• Deep dive reviews of guaranteed liabilities and associated asset strategies for Old Mutual’s RoA businesses.
• Propose and drive implementation of interventions that will improve ALM for the RoA businesses.
• Provide ALM training and support to in-country teams in to improve ALM and risk management practices across the Group.
• Develop & Implement ALM Hedging Strategies

Investigate key risks requiring mitigation.

• Conceptualise and develop appropriate hedging strategies.
• Drive implementation of hedging strategies to completion through collaborative efforts with in-country teams.
• Monitor effectiveness of hedging strategies and report to management forums on a regular basis.

Product Development & Reviews

• Assists 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.
• Develop, review and refine quantitative financial risk models, including stochastic investment guarantee reserve (IGR) models, used for product structuring and management, with a focus on guaranteed products.

Financial Risk Reporting

• Drive the identification, measurement, and monitoring of key financial risks in RoA businesses.
• Where required, identify risks requiring additional mitigation and put a relevant risk management strategy in place.
• Improve communication of key RoA financial risks to Group management and board committees.

General

• Drive RoA Financial Risk Forum to ensure appropriate escalation and resolution of financial risk related matters.
• Attend and provide subject matter expert input at relevant forums (in-country investment committees, entity ALCOs and Group ALCO).
• Qualifications, Skills and Required Experience
• Essential: Relevant post-graduate degree (e.g. Finance, Financial Engineering, Quantitative Analytics, Actuarial.
• Additional professional qualification (e.g. SAICA, FASSA, CFA) an advantage.
• 6+ years’ balance sheet management and/or actuarial finance experience within an insurance or banking entity with a specific focus on asset and liability management and other Group Treasury activities.
• 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 with 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 respond 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-record of being able to work efficiently with seniors and subordinates, teams in and out of the organization, and consultants to ensure delivery
• Communicate with various role-players to obtain the appropriate level of input, buy-in, and approvals for delivery
• Advanced Excel skills essential. Ability to build/optimise financial models using a combination of C#, Python, VBA or similar an advantage.