$13000 to $18800 (Monthly)
You will be part of Group Risk Management division, as part of the Group Financial Risk Management team. You will play a key role in leading the development the Asset Liability Management (ALM) Risk Model of the Group which will be used to analyse and manage the financial risks of the assets and liabilities on the balance sheets of all entities within the Great Eastern group. You will also be responsible for driving the transformation of the FRM models and processes including introducing data science tools and improving process efficiency.
· Build new capabilities to improve the Asset Lability Management of the Group, including the implementation of a stochastic ALM, quantitative derivative pricing, and other market, credit and liability models.
· Drive data, systems and process improvements within the FRM team including introducing data science tools in order to enhance efficiency and capabilities of the overall FRM team.
· Collaborate with Finance and Investment teams to calibrate the Economic Scenario Generators to be used within the Monte Carlo risk models.
· Implement the stochastic ALM Model to support risk and balance sheet management use cases, including for SAA / TAA setting, risk budgeting and Economic Capital purposes.
· Model and analyze solutions on efficient management of assets and derivatives usage relative to balance sheet liabilities, in collaboration with the other risk, investment and finance teams to ensure optimal ALM strategies are deployed;
· Identifying emerging risk and control issues, performing second line reviews and developing recommendations to help improve the quality of financial and model risk management in the group;
· Work closely with stakeholders and users from various business groups, external vendors and IT to continually implement automation and improvements into our current work flows;
· Preparation of project-related papers and presentations to Asset Liability Committee and Risk Management Committee where required.
· Takes accountability in considering business and regulatory compliance risks and takes appropriate steps to mitigate the risks.
· Maintains awareness of industry trends on regulatory compliance, emerging threats and technologies in order to understand the risk and better safeguard the company.
· Highlights any potential concerns /risks and proactively shares best risk management practices.
· Degree in Finance, Economics, Accountancy, Actuarial or other quantitative fields;
· At least 5 years of working experience involving development of ALM models;
· Meticulous, responsible and analytical;
· Excellent interpersonal and communication skills;
· Knowledge of derivative products and financial risk models will be advantageous;
· Knowledge of programming languages such as Prophet ALS, VBA, SQL and Python preferred;
· Qualification or working towards attaining CFA, FRM or Actuarial qualification(s);
· High level of integrity, takes accountability of work and good attitude over teamwork; and
· Takes initiative to improve current state of things and adaptable to embrace new changes.
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