Director, Asset Modelling & ALM Analytics

FWD Life Insurance Corporation; Hong Kong; On-site; HKD 1,400,000 - 2,000,000; Full time

Job summary

FWD Group in Hong Kong is seeking an ALM Analytics Lead to develop, maintain and enhance asset-modelling capabilities across multiple asset classes, including fixed income, alternatives and real estate. This role focuses on asset risk analytics such as duration, convexity, and credit spread analysis, under a market-consistent framework.

You will build ESG models, support asset allocation exercises, and ensure governance, data quality and documentation.

Qualifications

• 10+ years of asset modelling, quantitative finance or risk management.
• Degree in Quantitative Finance, Economics, Mathematics or related discipline.
• Professional qualification (CFA / FRM or equivalent) strongly preferred.

Responsibilities

• Develop, maintain and drive automation of asset valuation models for various asset classes, including but not limited to fixed-income, alternatives, real estates, derivatives etc., including asset risk analytics such as duration, KRD, convexity, etc.
• Develop and maintain Group economic scenario generator (ESG) models for various market risk factors
• Support SAA/TAA and portfolio optimization exercises through asset return modelling and stochastic simulation.
• Provide advice on economic risk calibrations of different asset classes
• Provide timely inputs to the regular monitoring of ALM risk metrics, focusing on asset-related valuation and stress testing
• Ensure model governance, data quality, validation, and controls are in place, with clear documentation and compliance with internal policies and best practice
• Provide clear analysis and commentary on changes in asset risk positions
• Acting as SME on asset risk analytics to collaborate with other Group and BU functions (e.g. actuarial, finance and risk teams), and provide advice on asset risk modelling as necessary
• Prepare materials for GALMCO, GRC and other governance forums as necessary

Skills

Python

R

MATLAB

Education

Degree in Quantitative Finance, Economics, Mathematics or related discipline

CFA / FRM or equivalent

Job description

FWD Group in Hong Kong is seeking an ALM Analytics Lead to develop, maintain and enhance asset-modelling capabilities across multiple asset classes, including fixed income, alternatives and real estate. This role focuses on asset risk analytics such as duration, convexity, and credit spread analysis, under a market-consistent framework.

You will build ESG models, support asset allocation exercises, and ensure governance, data quality and documentation.