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Market Risk Manager

eFinancialCareers
Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

Meraki Talent are working with a leading investment management business to help them identify a Market Risk Manager. The purpose of the role is to provide oversight of Market, Asset and Liability Management (ALM) and Liquidity Risks, including interest rate, inflation, and liquidity management. This covers oversight, advice and review of the management and optimisation of key risk metrics in relation to ALM and Liquidity; the impact of market risk drivers on their investment strategy, ALM, Liquidity and Capital; assumptions that feed calibrationswithin the Solvency II Internal Model and assumptions used for pricing new business deals. Some of your other duties will include:

  • Consider market risk impacts on the investment portfolio, focussing on relative change in values of assets and liabilities (ALM) and potential impacts of climate change on market risk factors to provide oversight on the robustness of the investment strategy.
  • Deliver market risk opinions and risk appetites for new asset classes, including structured investment products and complex reinsurance transactions to provide oversight and controls around the risk profile of the portfolio.
  • Provide advice and risk assessment of large Pension Risk Transfer transactions, to ensure that pricing allows for relevant market risks.
  • Validate components of key models and methodologies, including illiquid asset valuations and the Solvency II internal model. This involves testing of assumptions, parameters and calibrations to ensure models are fit for purpose, meet business and regulatoryrequirements, and limitations are fully understood.
We are looking for candidates with:
  • Extensive experience in a 1st or 2nd Line investment-focussed role is essential.
  • A quantitative degree or other financial qualifications (e.g. CFA, FIA) would be advantageous.
  • Broad experience of a range of fixed income asset types across cash and derivative markets.
  • Experience in oversight and management of interest rate and inflation risks and their mitigants.
  • Understanding of risk management frameworks, policies and appetites.
  • Financial market analytics, including macro trend, time-series and asset modelling.
  • Solvency II Capital framework (e.g. matching adjustment, internal model requirements) would be beneficial.
  • Understanding of ALM considerations of annuity liabilities and pension risk transfer transactions.
  • Investment portfolio construction and management.
  • Understanding of Lifetime Mortgages and their associated risks would be beneficial.
  • Experience working in regulated industries and dealing with regulators.

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