Alm Modeling Specialist

2 weeks ago

Cape Town, Western Cape, South Africa Group Finance Full time

Introduction


Through our client-facing brands Metropolitan and Momentum, with Multiply (wellness and rewards programme), and our other specialist brands, including Guardrisk and Eris Property Group, the group enables business and people from all walks of life to achieve their financial goals and life aspirations.

We help people grow their savings, protect what matters to them and invest for the future. We help companies and organizations care for and reward their employees and members.

Through our own network of advisers or via independent brokers and utilizing new platforms Momentum Metropolitan provides practical financial solutions for people, communities and businesses.


Role Purpose


This role forms part of a team of experienced ALM practitioners, dynamic hedging specialists and actuaries in a fast-paced, innovation and delivery-orientated function.

The position will be responsible for the technical implementation of systems, tools, processes and methodologies that are needed for the group's ALM balance sheet modelling and dynamic hedging platforms both in respect of the management of existing exposures as well as the design and launch of new product features.


Requirements:

  • Expertise in Python, or other similar languages, and a passion for finding automated programmable solutions to highly complex problems;
  • Minimum 2 years work experience, with preference for 37 years. Experience in a Dynamic Hedging, Life Insurance ALM, Stochastic Modelling, Corporate Actuarial or Quantitative Analysis context would be advantageous;
An understanding of quantitative finance, including asset pricing models adopted in the valuation of financial derivatives;

  • Experience of corporate actuarial disciplines, including financial reporting and SAM would be advantageous.

Duties & Responsibilities

  • The primary focus of the role will be on the development of technical modelling solutions within Python, SQL, PowerBI and/or other modelling solutions hosted on Amazon Web Services, in support of extending and enhancing the ALM System deployed for balance sheet management and policyholder product design needs. This includes also the development of the ALM Internal Model Office used for integrated balance sheet wide market risk management and risk appetite purposes;
  • As a secondary focus, expected to increase over time, 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, nonhedgeable risk pricing, market risk transfer processes, product design support to centres of excellence, and executive stakeholder reporting;
  • Act as strategic business partner to internal and external stakeholders, including LDI portfolio management, corporate actuarial and enterprise risk functions; building sound relationships and proactively seeking ways to add value;
  • 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
  • Selfstarter can run independently with complex projects

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