Actuarial Manager - Interest Rate Derivative Hedging (5-13 yrs)
Role
The individual will be responsible for developing and maintaining quantitative models to assess hedging requirements of the in-force book, analyze & report risks involved in the derivatives held, assessing the effectiveness of hedges.
The individual should have a minimum of 3-5 years of experience in derivatives reporting and risk management and have a strong analytical inclination with some understanding of insurance liabilities.
Duties and Responsibilities
- Identification of key reinvestment risks to hedge
- Assessment of different derivative products for the purpose of hedging interest rate risks, its pros and cons
- Assess the solvency and capital impact due to derivative strategy
- Develop and work towards a risk management policy for interest rate risk management
- Developing tools for testing effectiveness of hedges and any new hedge requirement
- Monthly management reporting on performance of various derivative hedging strategies
- Perform ad hoc analysis as needed, i.e., spreadsheet and database reports.
- Active participation in model validation process to validate the models.
- Ensuring compliance with the Regulatory guidelines, as relevant, e.g. 2014 Interest Rate Derivatives guidelines, etc. and other filings
- Maintain adequate documentation of processes and results
- Guide and mentor junior staff including Senior Actuarial Associates and Actuarial Analysts
Experience and Education Requirements
- Familiarity with the markets and an understanding of finance, mathematical finance, economics, accounting, investment, and insurance principles and practices.
- Bachelor's in Computer Science, Finance, Economics, Statistics, Engineering or Mathematics. MS in mathematical finance or related field preferred.
- Around 2-3 years of investment experience or related business experience is required.
- CFA/FRM/CQF preferred, but not required.
- Experience in mathematical/derivatives modelling, risk analysis, and application development preferred.
Key words:
We need someone who is involved in designing hedging strategies via interest rate derivatives
Education
(i) Graduation + minimum of CFA/FRM/CA/Part qualified actuaries/MBA qualification
(ii) MBA
Experience
(i) 3-5 years of experience in interest rate derivatives hedging
Industry
(i) Sell-side Research Houses - Quantitative Research
(ii) Big 4 Consultancies
(iii) Investment Banks
(iv) Hedge Funds
(v) AMCs
(vi) Life Insurance companies
Risks Solutions team of a Investment bank (client facing).
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