Senior Risk Manager/Modeller – Investment Risk, Performance & Quantitative Analysis Team recruitment
The Organisation:
The London Investment Office (LIO) acts as principal adviser to the scheme, manages most of its assets internally and otherwise manages the external manager relationships. LIO employs around 100 staff, 60 of whom are investment professionals. The scheme has £33bn of assets which are invested across a number of asset classes including equities, bonds, property, private equity, infrastructure and hedge funds. Other investment activities include a tactical asset allocation mandate and a currency hedging programme. A liability risk management programme is also being planned in conjunction with the scheme’s advisors. Subject to approvals, operational preparations and market conditions, this may be implemented from the end of the year.
The Team:
The Investment Risk, Performance and Quantitative Analysis (IRPAQ) team currently comprises the Head of the team and two Risk Performance Analysts. In replacing a recently departed asset liability risk analyst, we are now seeking to fill a broader role for a Deputy Head of the team. IRPAQ is primarily responsible for oversight of investment performance and risk. This involves:
- Analysing and monitoring risk and performance across the active and passive investment activities as well as at the aggregate scheme level
- Review and selection of risk systems
- Development of modelling and reports
- Preparation of reports and analyses as appropriate
The team has also been developing tools to analyse and report on asset liability risk and funding related developments (e.g. required rates of return for the scheme). These tools help support the developing asset liability risk management framework and its eventual implementation.
The team supports the CIO in managing and reviewing the active risk budget allocation across all active mandates and in mandate specification. At the scheme level, the team provides input to the strategic asset allocation review process and is responsible for ensuring that the scheme benchmarks and transitional arrangements reflect the strategic investment policy agreed by the Board and Investment Committee.
The Role:
We are looking to strengthen the team by recruiting a highly skilled, experienced professional, to address specific responsibilities and also more generally to deputise for the head of the team. This will require the individual to be involved across all areas of team responsibility e.g. in helping to develop and implement the investment oversight framework, supervising and developing the analysts, helping to prepare proposals and presenting these at meetings with both executives and scheme Committees.
As the scheme’s investment strategy becomes more focused on managing our asset liability risk, it is important for us to develop our capabilities in this area. Therefore, a key area of responsibility for this role will be to develop our Asset Liability and Fixed Income risk modelling and to help to integrate risk analytics across the scheme.
Capabilities and Experience:
We are looking for a professional with a strong background in Fixed Income and/or Asset Liability risk analysis and modelling. However, given the wide range of activities that the team covers, the role also requires a breadth of skills and/or experience which would ideally span the following:
Performance and risk analysis and modelling for
- Asset liability risk
- Active portfolio management (Equities and Fixed Income)
- Alternative asset classes (Private Equity, Hedge Funds, Infrastructure)
- Tactical asset allocation
- Strategic asset allocation
Understanding and knowledge of asset liability risk management for defined benefit pension schemes, ideally gained within an investment management, consultancy, actuarial or pension scheme environment
Highly numerate, with an excellent understanding of market data, time series analysis and manipulation
High degree of computer literacy, highly proficient in Excel, ability to programme in Excel VBA (essential), MatLab and additional programming skills (preferable), experienced in working with databases, ability to adapt to and to help develop in house systems
Experience with the following systems:
- Datastream, Bloomberg, Factset
- BarraOne, Riskmetrics, UBS Delta, Barclays Point (or other risk systems)
Attributes:
- Strong work ethic and motivation, addressing any work as required
- High degree of initiative, taking ownership of tasks and progressing to conclusion
- Excellent attention to detail, conscientious and reliable, working to a high degree of accuracy
- Constantly looking for ways of improving and advancing processes and methodologies
- Taking responsibility, being realistic in self assessment and seeking advice and feedback when appropriate
- Prioritising tasks and managing time effectively
- Effectively communicating complex ideas at all levels, strong interpersonal skills, straightforward, open and honest
- Team player: proactively identifies and seeks to address the needs of the team, working collaboratively and helping to build team spirit
- Actively developing, encouraging and fostering effective working relationships
Qualifications:
- Graduate with a good degree in numerate subject and preferably a postgraduate qualification
- CFA
- Actuarial qualifications an advantage