ALM Portfolio Analyst
Candidate Connect
Cape Town, Western Cape, ZA
19h ago

Looking for a ALM Portfolio Analyst to fill a gap in a well rated investment team, in Cape Town.

This role sits within an ALM and Trading team and focusses on the management of market risk within the context of hedging various liability products.

This role requires a strong quantitative understanding of the financial markets and the risks of the various financial instruments, and includes :

  • Manage the day-to-day hedging of the funds under management and rebalance positions where required to align to risk limits.
  • Order & deal management on behalf of other portfolio managers in the team as required.
  • Research and develop general portfolio management tools to optimise process and broaden portfolio management capability.
  • Research and develop alternative / enhanced risk measurement models and optimise hedging strategies.
  • Design and maintain quantitative financial models to support the ALM functions.
  • Provide reporting information and commentary on performance of hedges and portfolios
  • Skills / Qualifications

  • POST GRADUATE degree in Mathematics / Financial Mathematics / Risk Management / Statistics
  • 2-3 years work experience in similar field
  • Computer programming skills (VBA, C#, Python and / or Matlab)
  • Demonstrated knowledge of financial markets
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