Our client is looking for an ALM & Market Risk Manager who prepares all market and ALM reports and presents them to the risk and investment committees. He/she will make risk analyses with respect to interest on investment, stocks, opposite party and ALM risk and will look after a correct implementation of decisions. He/she will also work on a risk policy, tailored to the company.
The ALM & Market Risk Manager will be responsible for:
- Own Risk and Solvency Assessment
- Model the investment portfolio and the evolution of the balance sheet
- Produce the ORSA in close cooperation with the actuaries.
- Make projections of returns and the Solvency II ratio based on these models and test by means of scenario analyses.
- ALM study:
- Produce a biennial stochastic study aiming to optimize the Strategic Asset Allocation and working together with an external consultant. Validate the assumptions of the study, interpret the results and support the implementation of the decisions that were made.
- Match the yearly Cash-Flow supporting the ALM policy concerning the investment decisions.
- Solvency II:
- Calculate & analyse the SCR concerning market risks for the Solvency II quarter reporting and prepare the data needed for filling in the QRT’s.
- Optimize the capital requirements in respect of the investments and estimate the impact for new investments.
- Risk Management:
- Define and follow-up of KRI’s concerning ALM and market risk.
- Analyse and document the possible techniques for risk management.
- Report the investment portfolio and following up of the limits.
- A master’s degree in Mathematics, Physics, Civil/Business engineering or in Economic Sciences or in Finance.
- A few years of relevant work experience in the insurance sector
- Familiar with Solvency II regulation.
- Good knowledge of Accounting (BEGAAP) is a must.
- Excellent knowledge of MS Office Excel and a knowledge of a programming language would be considered as a plus.
- Critical mindset, eye for details with strong analytical skills.
- Driven, hands-on and enthusiastic.
- Fluency in both French and Dutch and good knowledge of English are required.