Senior Manager, Group Investments (ALM Modelling)
Core
Develop, maintain, and enhance asset modelling capabilities including asset valuation models, ESG, and stress testing tools to enable robust asset-side analytics under a market consistent valuation framework.
Role type
Senior Manager, quantitative finance and asset modelling
Builds
Asset valuation models, economic scenario generators (ESG), and portfolio optimization frameworks
Domain
Insurance / Asset Liability Management (ALM) / Quantitative Finance
Deliverable
production ML models
Required skills
Asset valuation modelling, economic scenario generation, stochastic simulation, portfolio optimization, risk analytics (duration, KRD, convexity), yield curve modelling, credit spread modelling, equity modelling, FX modelling, Python, R, Matlab
Preferred skills
CFA, FRM, stress testing frameworks, data governance
Technologies
Python, R, Matlab
Responsibilities
Develop and automate asset valuation models for fixed-income, alternatives, real estate, and derivatives; Develop and maintain Group economic scenario generator (ESG) models; Support SAA/TAA and portfolio optimization exercises; Provide advice on economic risk calibrations; Monitor ALM risk metrics and provide analysis on asset risk positions; Ensure model governance, data quality, validation, and controls; Act as SME on asset risk analytics for cross-functional collaboration; Prepare materials for governance forums