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28/09 Rachita
HR at Black Turtle

Views:3757 Applications:104 Rec. Actions:Recruiter Actions:18

Actuarial Manager - Interest Rate Derivative Hedging (5-13 yrs)

Mumbai Job Code: 619143

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).

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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