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IPV and Market Risk Specialist

  • Location

    London

  • Discipline:

    Credit Risk & Analytics

  • Job type:

    Permanent

  • Salary:

    £100,000

  • Consultant:

    #

  • Email:

    nmohamed@merje.com

  • Job ref:

    NM/15441

  • Published:

    8 months ago

Play a leading role in the identification, measurement, monitoring, management, controlling and reporting of market risk as well as providing independent price verification for Clients investment portfolio.

Key responsibilities include:

  • Provide oversight of investment risk, interacting effectively with stakeholder including Risk Management, Asset Management and Finance
  • Execute the independent price verification (IPV) of investment portfolio including illiquid investments and derivatives
  • Provide independent challenge to Executive Management on matters related to investment risk and price testing
  • Monitor credit risk, interest rate risk, other market risk exposures, reviewing internal risk reporting and challenging where appropriate
  •  Provide oversight of non-traditional, illiquid investments with regard to compliance with the internal control framework
  •  Provide line 2 oversight of derivatives use, assessing this against existing governance requirements set out in the derivatives use plan and investment guidelines
  •  Review strategic asset allocation and investment mandates
  •  Review proposals for new investments, changes to investment strategy, liquidity managements, ALM
  • Contribute to Line 2 meetings with external investment managers
  • Play a key role in ensuring that the internal model accurately reflects the relevant risks, including operational risk relating to investment activities
  • Be a key contributor to the ongoing development of internal model for Private Debt pre and post IPO
  • Deliver independent, balanced, accessible information and advice on risk issues that can be presented to the Risk Committee of the Boards
  • Contribute to the Own Risk and Solvency Assessment (“ORSA”) in matters relating to investment, liquidity and ALM risk, including scenario testing, reverse stress testing
  • Lead risk assurance reviews in respect of investment and ALM-related topics
  • Draft documentation in respect of review activity, highlighting key findings and recommendations and engage with stakeholders to agree actions plans to address these
  • Review and challenge the results of Risk and Control Self Assessment relating to investment risks
  • Review internal reporting of performance against mandates, operational events and breaches
  • Maintain documentation of the risk control framework consistent with risk management standards
  • Give policyholder outcomes adequate and appropriate consideration in matters that relate to risk
  • Keep abreast of industry developments

The Person:

  • Strong understanding of investment risk assessment, management and mitigation techniques
  • Strong knowledge of Solvency II regulatory framework
  • Strong academics – likely to involve a good quality degree and professional qualification / partial qualification in a risk, finance, actuarial or equivalent financial discipline
  • Knowledge of Asset and Liabilities management risk
  • Financial modelling background and proficient use of Excel and macros
  • Minimum 5 years' experience of managing market risk in a banking, pensions or insurance role
  • Experience in looking at private debt transactions, with their complex capital structures, knowledge of and rationale behind key loan security terms, covenant setting and scenario testing

Please note, should you not receive feedback 28 days, unfortunately your application has been unsuccessful. However, we may be in touch with similar relevant opportunities.