Associate Director, Asset Liability Management

BMO•Toronto, ON

1d•CA$75,900 - CA$141,900•Onsite

About The Position

We are seeking a detail-oriented and analytically driven ALM Lead to join the insurance investment department in BMO Life Assurance with strong interest in asset and liability management. The successful candidate will support management of asset liability risk and optimize the investment portfolio in line with the insurance liabilities, regulatory requirements, and strategic objective. This role involves conducting quantitative analysis, developing ALM models and contributing to strategic asset allocation and risk management.

Requirements

Typically between 5 - 7 years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
Deep knowledge and technical proficiency gained through extensive education and business experience.
Verbal & written communication skills - In-depth.
Collaboration & team skills - In-depth.
Analytical and problem solving skills - In-depth.
Influence skills - In-depth.
Data driven decision making - In-depth.

Responsibilities

Develop, maintain, and enhance ALM process and discount rate models
Build an earning by source analysis for valuation process
Perform duration and cash flow matching analysis to minimize interest rate/convexity and reinvestment risk
Conduct scenario analysis, including dynamic ALM modeling under various interest rate and credit spread scenarios
Work with investment teams to align asset strategies with liability profiles
Analyze the impact of product guarantees, and embedded derivatives on ALM strategies.
Provide input into the Strategic Asset Allocation and Tactical Asset Allocation process to ensure alignment with liability needs.
Develop surplus optimization and capital planning from portfolio management perspective.
Prepare ALM reports and dashboards for internal stakeholders, investment committees and regulatory submissions
Identify and monitor key economic risks