Assistant Manager, Risk Analytics recruitment

Roles and Responsibilities:

• For economic capital models to be efficient and reliable, (essential prerequisites when these models are used for shareholder communication and performance management), they need to balance attention to detail with shortcut processes to allow multiple iterations. This role seeks to continuously enhance modeling and calibration methodology with those aims in mind

• Stress testing of all countries’ local regulatory and the major countries’ ICO regulatory capital occurs quarterly. This role is required to perform the stress tests including model update and maintenance, parameter calibration, aggregation, result analysis and explanation. This includes supervising and assisting business units in performing stress tests on a local statutory basis.

• Support ECap modeling, perform Principal Component Analysis (an advanced mathematical technique), enhance credit risk model and aggregation framework and assist in the design of Least Squares Monte Carlo Simulation (an advanced technique used in the economic capital processes)

• Perform economic stochastic scenario generation. Research on Asian economies to enhance calibration for market risk factors and explore scenario sampling technology.

• Work with external consultants, (Oliver, Wyman and Barrie Hibbert – specialist risk consultancies),on shock size calibration, (ie determining appropriate market inputs to meet the Group’s shock requirements), and aggregation methodology. In the latter case he is one of two people in AIA who can build an aggregation model from scratch.

•  Prepare ALM and duration reports, handle ad-hoc projects and other duties as required.

Job Requirements:

• Undergraduate or post-graduate degree in actuarial science, statistics or mathematical finance discipline with 5 years experience

• Associate or fellowship of FSA/FIA

• Advanced knowledge in stochastic calculus, risk modeling and financial engineering

• Strong computer programming skills

• Knowledge of BH Economic Scenario Generator, Prophet, C++, R, FinCad or other modeling/statistical software is highly preferred

Candidates with less experience will be considered for Associate, Risk Analytics