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17 Feb 2022

Full-Time Quantitative Risk Specialist (ALM Special Projects)

Sheila Western Cape

Job Description

Your time is now to be your exceptional best at Old Mutual!

Job Description

The appointment will be made from the designated group in line with the Employment Equity Plan of Old Mutual South Africa and the specific business unit in question

An exciting opportunity has arisen in the ALM team (asset & liability management) at Old Mutual. The role focuses on special projects across the OML business units.

The core project over the immediate period is to ensure the IFRS17 readiness of our ALM hedging programs and other market risk mitigation strategies employed. The key focus will be on changes in the nature of reported liabilities and its sensitivity to market factors. Where liability changes are material, the hedging strategies employed will need to be reviewed for appropriateness.

Post IFRS17 the role will offer the opportunity to get exposure to contained projects across our different SA operating segments, as well as our Rest of Africa businesses.

The ALM team is part of the Group Treasury team with the Group Balance Sheet Management (GBSM) function. The team focuses on asset liability management (ALM), 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.

Develop & Implement ALM Hedging Strategies Under IFRS17
Investigate key market risks requiring mitigation under IFRS17
Conceptualise and develop appropriate ALM hedging strategies for GMM and VFA products in OML
Assess the impact of ALM strategies on funding and liquidity within the Group
Drive implementation of hedging strategies to completion through collaborative efforts with asset managers, actuarial valuation teams and IFRS17 transition teams
Present proposed hedging strategies to management committees, including exco level stakeholders
Manage and Monitor GBSM IFRS17 Projects
Manage the IFRS17 projects undertaken by GBSM relating to investment strategies, hedging strategies, as well as the determination of illiquidity premiums and valuation curves
Drive stakeholder engagements and co-ordinate teams to ensure the successful delivery of IFRS17 Projects within agreed timeframes
Monitor the progress of IFRS17 GBSM projects and report related updates to management forums on a regular basis

Middle Manager (MM) ALM Processes
Assist in ensuring that MM ALM processes run smoothly and that the impact of implemented hedging strategies are integrated into existing processes for reporting, funding transfers, and liability translation purposes
Assist in the alignment of valuation reporting models and hedging models
Product Development & Reviews
Assist in the development of innovative product offerings with a focus on investment & ALM strategies
Ensure appropriate management of market and liquidity risks introduced onto 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.
ALM Balance Sheet Reviews
Deep dive reviews of guaranteed liabilities and associated asset strategies for Old Mutual’s businesses
Propose and drive implementation of interventions that will improve ALM for OML businesses
Provide ALM support to actuarial teams to improve ALM and risk management practices across the Group
Attend and provide subject matter expert input at relevant forums (ALCO, IFRS17 P&M)
Assist in ad-hoc strategic ALM projects
Qualifications, Skills And Required Experience
Essential: Relevant post-graduate degree (e.g. Finance, Financial Engineering, Quantitative Analytics, Actuarial) and additional professional qualification (FASSA, FIA, CERA)
5+ years’ balance sheet management and/or actuarial finance experience within an insurance entity with a specific focus on asset and liability management and other Group Treasury activities
Good working knowledge of IFRS17 standard.
Familiarity with SA and RoA asset markets, with specific experience in an ALM or balance sheet management context 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 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



Bachelor Of Commerce Banking And Finance Honours Degree, Bachelor Of Science In Quantitative Risk Management, Fellow Of Actuarial Society Of South Africa (FASSA)

Closing Date

03 March 2022

Old Mutual Limited has adopted a mandatory Covid-19 vaccination policy requiring its workforce to be fully vaccinated against Covid-19 by 1 April 2022. All prospective employees are required to disclose their vaccination certificates or cards as part of the recruitment process.

If you have an objection to taking the Covid-19 vaccination, you will be required to produce a negative PCR test (at your own cost) on a weekly basis as an alternative to vaccination. Prospective employees must inform the recruiter of their election prior to start date.

Please refer to the Old Mutual policy for further detail. Old Mutual reserves the right to amend this policy from time to time.

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Job Categories: WordPress. Job Types: Full-Time. Job Tags: Quantitative Risk Specialist (ALM Special Projects).

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