Market Risk and Quant Investment Manager

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Resource Solutions
  • 15 Jan 18 2018-01-15

This person will be responsible for managing the market risk management and quantitative input into the investment decision making processes, which is led by the Group Entities' (Client's) risk appetites, with AI's objective being to deliver the best return for the risk being taken, through active strategic and tactical asset allocation. They mus have knowledge or must have worke with the APT risk System.

Portfolio Management

Market risk

  • Thoroughly understand the current risk levels and contributions to risk for each client so that their investment objectives, risk appetite and regulatory requirements are adhered to.
  • Perform internal and regulatory risk reporting and contribute to the ongoing development of such reports in line with industry standards.
  • Carry out scenario analysis and stress testing of the portfolios as part of the regulatory risk framework, and on an ad hoc basis relating to particular investment risks identified by the job holder.
  • Develop and maintain strategic tools, which support the portfolio construction and risk review process.
  • Be thoroughly familiar with APT's functionality and development roadmap and how these can enhance the development of investment risk modelling.
  • Work with APT to ensure the system remains fit for purpose for risk management and capital modelling.
  • Liaise with Amlin Risk (AR) and Actuaries regarding input into the DFA model in order to meet the Solvency II requirements and the verification of the Front Office risk model output.
  • Backup Risk Manager for Amlin's Market Risks.
  • Participate in risk discussions for the wider company and contribute to thought leadership
  • Contribute to the on-going development of the investment process.
  • Development of the asset assumptions used in the risk and capital model

Asset allocation

  • Develop the SAA for all client portfolios and advise the AI Strategy Team on the risk and capital implications of decisions ahead of their approval, and subsequent approval by the IME.

Once approved by the CIO, be an AI Designate who carries out day-to-day portfolio management.

Entity Investment Management

  • Responsible for the portfolio management of the client(s) they 'own', (which will rotate over time). This will involve:
    • Adapting and implementing TAA for their client's purposes.
    • Make investment decisions (or recommendations, depending on the client) to implement the TAA
    • Ensuring that the SA structure is appropriate for the TAA, regulations and tax rules
    • Ensuring that risk remains within tolerance and that liquidity requirements are met
  • Liaise with the entity's Chief Financial Officer regarding asset/liability matching.
  • Report and present to the client Board


  • Authorise direct trades and sub-advisor subscriptions/redemptions required for: cash inflows/outflows, the equity hedge programme, or to rebalance portfolios back to TAA.
  • Execute trades pre-authorised by a Director or another AI Designate, having first reviewed the rationale for the original authorisation

Data quality

  • Manage data quality checking and acceptance, which is crucial for risk management, internal model and MI purposes, which need to be backed up by detailed procedures and supporting documentation.

Team cover

  • Provide cover for the Head of Quant/Risk, when necessary


  • Contribute to the ongoing development of the investment process.
  • Be the technical quant/risk lead in projects, where appropriate.
  • Undertake ad hoc assignments as requested.
  • Assists developing Analysts by reviewing work and providing training/guidance


  • Individually regulated and personally accountable to the FCA for the compliance with the FCAs Statements of Principle and Code of Practice in the performance of the controlled function (CF30 - customer function).
  • Manages the effective day-to-day investment risk management of AIML.
  • Prepare MI concerning AIML to provide appropriate ongoing commentary on board paper submissions to AIML directorate.

The Code of Practice and Statements of Principle for Approved Persons are set out in the FCA handbook