AVP, Group Investment

FWD Life Insurance Corporation; Hong Kong; On-site; HKD 1,200,000 - 2,000,000; Full time

Job summary

FWD Group is seeking a senior ALM modelling leader to develop and maintain all necessary models, tools and management reports for ALM risk monitoring across the Group. You will enable timely, consistent ALM decisions through robust analytics and governance.

You will lead the Group ALM team, define key ALM metrics, and drive the rollout of Group-wide reporting requirements. This role requires deep quantitative expertise and a track record of delivering scalable ALM solutions.

Qualifications

• Strong quantitative background in financial modelling and risk analytics.
• Experience with stochastic simulations and ALM risk measurement.
• Familiarity with IFRS, economic capital and solvency concepts.

Responsibilities

• Lead modelling and reporting teams within Group ALM to support analytics for decisions and risk management.
• Define ALM metrics (e.g., key-rate duration gaps, hedge ratios) and develop tools for risk measurement.
• Roll out Group-wide ALM reporting requirements, guidelines and templates with regular reviews.
• Consolidate and report ALM positioning to Group management regularly.
• Build model infrastructure and strengthen ALM modelling capabilities across the Group.
• Develop and automate asset, liability and risk analytic models, including real-world stochastic simulations.
• Develop portfolio optimization models for SAA/TAA analyses and decisions.
• Define modelling approaches for assets and liabilities to enable sensitivity analyses and stress testing.
• Advise on asset risk modelling approaches and calibrations for economic capital.

Skills

Quantitative modelling

Stochastic simulations

Risk analytics

ALM frameworks

Data governance

Education

Actuarial/Finance/Economics/Math degree

Professional qualification (FSA/FIA/CFA/FRM)

Job description

About FWD Group

FWD Group (1828.HK) is a pan-Asian life and health insurance business that serves over 40 million customers across 10 markets, including BRI Life in Indonesia. FWD's customer-led and tech-enabled approach aims to deliver innovative propositions, easy-to-understand products and a simpler insurance experience. Established in 2013, the company operates in some of the fastest-growing insurance markets in the world with a vision of changing the way people feel about insurance. FWD Group is listed on the Hong Kong Stock Exchange under the stock code 1828. For more information, please visit

PURPOSE

As the technical backbone in the Group ALM function, this role will develop and maintain all necessary models, tools and management reports to enable prompt, consistent and standardized ALM risk monitoring across the Group, and to enable well-informed ALM decisions.

KEY ACCOUNTAIBILITIES

• Lead the modelling and reporting teams within the Group ALM function to deliver all necessary analytics to enable ALM / SAA decisions and risk management processes
• Define ALM metrics (e.g. key-rate duration gaps, hedge ratios etc.) and develop analytical tools for ALM risk measurement and monitoring against internal risk limits
• Define and roll-out Group-wide ALM-related reporting requirements (e.g. investment analysis, risk position analysis), guidelines and templates, with regular review to ensure ongoing appropriateness
• Review, consolidate and report ALM positioning reports to Group management on a regular basis
• Build model infrastructure and strengthen ALM-modelling capabilities across the Group
• Develop and automate asset, liability and risk analytic models, including real-world stochastic simulation models, to facilitate timely monitoring and stress testing of macro-economic factors to key financial metrics
• Develop portfolio optimization models to assist SAA / TAA analyses and decisions
• Define the modelling approach for assets and liabilities to perform sensitivity analyses and stress testing, and ensure consistent measurements across different financial metrics (and across BUs)
• Advise asset risk modelling approach and risk parameter calibrations for economic capital and other relevant valuations, sensitivity analyses and stress testing
• Ensure data quality in all ALM-related models, in line with relevant Group policies

QUALIFICATIONS / EXPERIENCE

• 10+ years of experience in finance, investment, actuarial, or risk management functions of life insurance companies
• Professional qualification from internationally recognized professional body (e.g. FSA / FIA / CFA / FRM or equivalent)
• Degree in Actuarial, Finance, Economics, Mathematics or related discipline

KNOWLEDGE & TECHNICAL SKILLS

• Strong quantitative background in financial modelling (asset and liability), stochastic simulations and risk analytics
• Good understanding of risk factor modelling and parameter calibration (e.g. yield curves, credit spreads, volatilities, correlations)
• Understanding of asset-liability model architecture and analytics platforms
• Deep understanding of ALM frameworks, including duration, key-rate duration, convexity, liquidity and hedging strategies
• Solid knowledge in insurance B/S and financial metrics (IFRS, EC, solvency, EV etc.)
• Solid understanding of insurance products (par, non-par, unit-linked etc.)
• Solid experience in risk analytics such as stress testing and scenario analyses
• Detail-oriented with strong focus on model / data robustness, controls and governance