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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.
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.
An advanced degree (MA or Ph.D.) in finance, economics, mathematics or equivalent coupled with a keen desire to learn and to constantly improve ones 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.