AVP, Group Investment (ALM Analytics)
Tasks
- Conduct stress testing and scenario analysis
- Consolidate ALM positioning reports
- Define ALM metrics and develop analytics tools
- Define asset and liability modeling approach for sensitivity analysis
- Develop and automate asset liability risk models
- Develop portfolio optimization models
- Ensure data quality and model governance
- Lead ALM modeling and reporting teams
- Perform stochastic simulation for ALM risk monitoring
Perks/Benefits
- N/A
Skills/Tech-stack
Asset-liability modeling | Convexity | Correlation modeling | Credit spread | Duration Modeling | Economic Capital | Financial Modelling | Hedging Strategies | IFRS | Key Rate Duration | Liability modeling | Liquidity Risk | Liquidity risk modeling | Model Governance | Portfolio Optimization | Risk Analytics | Risk Modeling | Scenario Analysis | Solvency | Stochastic Simulation | Stress Testing | Volatility modeling | Yield curve
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
Roles
ALM Analytics Manager | Actuarial Analyst | Analyst | Analytics Manager | Manager | Risk Analyst
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