ALM Assistant Manager - Manager

Roles And Responsibilities

Propose strategic asset allocation for both in-force and new products based on group guideline and performance analyses (including computing efficient frontiers of various SAA candidates) across multiple asset classes including fixed income, equities, derivatives and alternative investments. Understand the DFA (Dynamic Financial Analysis) model process, and perform model runs for collecting inputs for analysis. Assess the impact of various SAA candidates on solvency ratios and economic risk-adjusted returns. Consolidate the outputs and SAA recommendations to communicate the results with various key stakeholders such as investment, finance, actuarial and risk management teams.

Lead the ALM process and monitoring based on Solvency II and Local Regulation (HK RBC) requirements: Perform analysis on impacts to available capital and solvency under market stress scenarios (e.g. parallel interest rate curve shift) and various ALM positions (e.g. asset lengthening against liability). Support analysis on ALM and solvency impacts for various investment solutions that involve the usage of derivatives. Support key ALM and investment monitoring process and support documents for the local investment committees and board meetings

Minimum Job Requirements

University / College graduate in Actuarial Science, Mathematics and Statistics or related subject with at least 5 years' experience in life insurance industry. Fellowship in a recognized international actuarial professional body/close to fellowship Sound analytical, problem solving and communication skills. Ability to deal with and handle multiple priorities. Experience and knowledge in insurance product and actuarial work in ALM is an asset.

Proficiency in actuarial software, e.g., Prophet is an advantage. Open for Senior Manager level