# Group ALM Modelling and Reporting Lead

**Company**: FWD Group
**Location**: Hong Kong
**Experience**: senior
**Job type**: full-time
**Category**: Finance
**Industry**: Finance

**Apply**: https://fwd.wd3.myworkdayjobs.com/en-US/FWDcareersite/job/Hong-Kong---Taikoo-Shing-Group-Office/Head-of-ALM-Analytics_JR-0027166?utm_source=yubhub.co&utm_medium=jobs_feed&utm_campaign=apply
**Canonical**: https://yubhub.co/jobs/job_0ce5d6ba-805

## Description

We are seeking a Group ALM Modelling and Reporting Lead to join our team. As the technical backbone in the Group ALM function, you will develop and maintain all necessary models, tools and management reports to enable prompt, consistent and standardized ALM risk monitoring across the Group, and to enable well-informed ALM decisions.

**Key Accountabilities:**

- Lead the modelling and reporting teams within the Group ALM function to deliver all necessary analytics to enable ALM / SAA decisions and risk management processes

- Define ALM metrics and develop analytical tools for ALM risk measurement and monitoring against internal risk limits

- Define and roll-out Group-wide ALM-related reporting requirements, guidelines and templates, with regular review to ensure ongoing appropriateness

- Review, consolidate and report ALM positioning reports to Group management on a regular basis

- Build model infrastructure and strengthen ALM-modelling capabilities across the Group

- Develop and automate asset, liability and risk analytic models, including real-world stochastic simulation models, to facilitate timely monitoring and stress testing of macro-economic factors to key financial metrics

- Develop portfolio optimization models to assist SAA / TAA analyses and decisions

- Define the modelling approach for assets and liabilities to perform sensitivity analyses and stress testing, and ensure consistent measurements across different financial metrics (and across BUs)

- Advise asset risk modelling approach and risk parameter calibrations for economic capital and other relevant valuations, sensitivity analyses and stress testing

- Ensure data quality in all ALM-related models, in line with relevant Group policies

**Qualifications / Experience:**

- 12+ years of experience in finance, investment, actuarial, or risk management functions of life insurance companies

- Professional qualification from internationally recognized professional body (e.g. FSA / FIA / CFA / FRM or equivalent)

- Degree in Actuarial, Finance, Economics, Mathematics or related discipline

**Knowledge & Technical Skills:**

- Strong quantitative background in financial modelling (asset and liability), stochastic simulations and risk analytics

- Good understanding of risk factor modelling and parameter calibration (e.g. yield curves, credit spreads, volatilities, correlations)

- Understanding of asset-liability model architecture and analytics platforms

- Deep understanding of ALM frameworks, including duration, key-rate duration, convexity, liquidity and hedging strategies

- Solid knowledge in insurance B/S and financial metrics (IFRS, EC, solvency, EV etc.)

- Solid understanding of insurance products (par, non-par, unit-linked etc.)

- Solid experience in risk analytics such as stress testing and scenario analyses

- Detail-oriented with strong focus on model / data robustness, controls and governance

## Skills

### Required
- financial modelling
- stochastic simulations
- risk analytics
- ALM frameworks
- insurance products
- risk management

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Source: [Apply at fwd.wd3.myworkdayjobs.com](https://fwd.wd3.myworkdayjobs.com/en-US/FWDcareersite/job/Hong-Kong---Taikoo-Shing-Group-Office/Head-of-ALM-Analytics_JR-0027166?utm_source=yubhub.co&utm_medium=jobs_feed&utm_campaign=apply)