Director, Asset/Liability Management

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Scope:

Reporting to the VP Investment Risk Management, the Director, Asset/Liability Management is responsible for development and management of the Asset/Liability process and supporting strategic investment risk management initiatives that support the strategic objectives of the OMERS Enterprise.

The Director Asset/Liability Management will:
- manage the Asset/Liability process at OMERS;
- develop relationships across the Enterprise with the Actuarial Group and senior management of the Investment Entities; and
- provide direction to the VP, Investment Risk Management and the Chief Investment Officer on asset/liability management issues.

The role is accountable for execution of the following:
- Total Fund Asset/Liability Modeling.
- Total Fund Portfolio Optimization.
- Asset/Liability Management Stress and Scenario Testing.

Responsibilities:

• Build and establish the OMERS asset/liability management (ALM) process.
• Establish standards for A/L modeling and maintain consistency and best practices across business entities.
• Develop, implement and manage the process to set expected returns and risk assumptions in conjunction with senior management of the Investment Entities and OMERS Actuarial Group.
• Establish technical requirements, data reliability standards, and reconciliation processes for OMERS A/L models.
• Partner with OMERS Actuarial Group, IOA, the Investment Entities and other groups within OMERS to ensure the ALM model meets analytical, reporting and other needs.
• Develop and maintain strong relationships with OMERS peers in order to review and monitor OMERS peers strategic asset allocation including investment performance benchmarking.
• Develop and implement a framework for OMERS ALM fund stress and scenario testing and maintain up-to-date knowledge of industry stress and scenario testing standards.
• Maintain up-to-date knowledge of public and private market index construction and pricing methodologies as they relate to investment performance benchmarks.
• Initiate research and development of investment and risk policies and make sound recommendations to enhance such policies.
• Prepare and present written reports and presentations to senior management and the Board.
• Through the Investment Risk Management Committee, recommend actions and strategies to fulfill the Investment Risk Management mandate, but especially as it pertains to asset allocation.
• Establish and maintain effective working relationships with all staff involved in investment activities at OMERS and act in a manner consistent with OMERS core values. Work with consultants and cross-enterprise investment risk teams including senior management.

Qualifications:

• An advanced degree (MA or Ph.D.) in finance, economics, mathematics or equivalent coupled with a keen desire to learn and to constantly improve one’s knowledge.
• At least 10 years experience in the investment industry (i.e., pension plan, insurance industry) in an asset/liability modeling capacity.
• CFA and FRM or PRM certification would be preferred.
• Proven leader.
• Exceptional report writing and communication skills. Ability to clearly communicate complex subject matter to non-technical audiences.
• Exceptional team player – demonstrated ability to work in a team environment and provide constructive feedback with an ability to build and maintain relationships across the organization.
• Highly proficient in Microsoft Office. Demonstrated portfolio and risk modeling skills. Proficient in Matlab, VBA, SAS, C++ or equivalent.
• Good knowledge of all major asset classes including alternative asset classes (i.e. private equity, infrastructure and real estate) and markets.
• Proven experience in pension fund/bank ALM environment and with ALM systems/models
• Strong quantitative/analytical skills.
• Product knowledge familiarity including: major asset classes, including infrastructure, real estate and private equity.
• Demonstrated leadership and influencing skills.












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