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The ALM function supports the Chief Investment Officer as well as the Group's various Business Units ("BUs") in work relating to ALM. This includes setting long-term Capital Market Assumptions, provision of economic assumptions and economic scenarios to support both deterministic and stochastic reporting and ad-hoc investigations; supporting the BUs in their analysis of the risk/return proposition for proposed asset allocation strategy or other ALM initiatives.
Job Requirements:
• Managing the resources of the core production team, under the supervision of the team's director, which produces ESG stochastic files for EEV, Economic Capital, HK RBC, IFRS 17 and local statutory bases, as well as for investigation and planning work on an ad-hoc basis.
• Reviewing existing procedures to determine if they are still applicable to current circumstances
• Manage the economic assumptions bases used by Prudential's BUs in all countries, for regular reporting and ad-hoc investigations, ensuring consistency with Group-wide requirements and with existing bases. Ensure that BUs have clear and timely awareness of changes to economic assumptions as they are decided from time to time.
• Managing small project teams to plan and implement enhancements to the team's stochastic modelling capability and processes.
• Perform testing of updates on the automated system for producing simulations. Review, develop and maintain the existing tools and systems with the aim of improving efficiency, flexibility and transparency of systems.
• Participate in the development of asset modelling approaches and refinements, especially relating to our tools for modelling stochastic outcomes for corporate bonds, alternatives, hedging strategies, etc.
• Provide support to undertake research into asset class characteristics and dynamic asset allocation strategies.
• Provide guidance to BUs in resolving their ESG related technical challenges with support from the team.
• Participate in managing the team's human resources, including hiring new interns and training existing and new staff members.
Job Qualifications:
• 5-6 years of experience for Manager grade
• Technical strength and a team player.
• A keen technical mind and conscious inclination to understand the inner workings of the ESG and asset models.
• A drive to understand each situation and investigation in sufficient detail to ensure that results of investigations are technically sound and that decision-makers have a good understanding of the meaning and limitations of the model results.
• Strong programming skills in VBA/Excel/Python, and the ability to produce clear well-documented code on those occasions when programming is needed.
• A good understanding of stochastic modelling concepts, with the ability to extend or build models to recognise additional features of the asset classes.
• A strong interest in analytical approaches to understanding uncertainty of outcomes relating to investment risk and related impacts on financial outcomes.
• Excellent written and verbal communication skills in English, including the ability and desire to produce good documentation of project work and of model enhancements.
• An understanding of market-consistent valuation, and exposure to the concepts of Economic Capital, HK RBC and IFRS 17 calculations would be an advantage.
• Previous experience in team management will be an advantage.
Prudential is an equal opportunity employer. We provide equality of opportunity of benefits for all who apply and who perform work for our organisation irrespective of sex, race, age, ethnic origin, educational, social and cultural background, marital status, pregnancy and maternity, religion or belief, disability or part-time / fixed-term work, or any other status protected by applicable law. We encourage the same standards from our recruitment and third-party suppliers taking into account the context of grade, job and location. We also allow for reasonable adjustments to support people with individual physical or mental health requirements.
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