Associate Director – Asset Liability Management

Royal Bank of Canada•Mississauga, ON

1d•Onsite

About The Position

This role leads the ALM team for activities related to Asset Liability Management (ALM) which includes (but not limited to) asset modelling, discount rate (DR) production process and earnings by source (EBS) analysis. The Associate Director will manage a team of 2-3 actuarial analysts/associates and report to the Director of ALM. The role also assists in the ad-hoc analysis and other ALM financial reporting inquiries.

Requirements

Undergraduate degree in Actuarial Science or a related field
Minimum of 7+ years of actuarial experience
Experience with the GGY AXIS platform is required.

Nice To Haves

Fellow of the Society of Actuaries (FSA or equivalent)
Working experience in SQL, Tableau and R would be an asset.
ALM/Investment working experience and knowledge would be an asset.
Self-motivated and attention to details.

Responsibilities

Lead and oversee the preparation, analysis and reporting of ALM related section under the EBS analysis, including extracting model runs details to validate reported results.
Review and support monthly discount rate (DR) production and ALM trade quantification in Moody’s AXIS, including asset data validation and asset model enhancements.
Review and monitoring of key actuarial assumptions, including corporate bond defaults, inflation, ultimate risk-free rate, investment expense, and liquidity premium.
Collaborate with the Investment team to evaluate how asset strategies and ALM transactions affect liability valuation and capital.
Provide support to internal/external teams for quarterly/annually reports such as LICAT, risk reports, AAR, materials for Board, etc.
Lead the team in model improvement initiatives, enhancing DR processes, AXIS workflows, and actuarial methodologies.
Support the Financial Risk Oversight team with ad hoc actuarial analysis, model investigations, and resolution of unusual results.