Head of Asset Risk

Overview

Pension Insurance Corporation (\”PIC\”) provides secure retirement incomes through comprehensive risk management and excellence in asset and liability management, as well as exceptional customer service. Our purpose is to pay the pensions of our current and future policyholders. We achieve our purpose by setting Companywide strategic objectives and driving a healthy culture based on our PIC Values of Resilient, Adaptable, and Loyal.

Role purpose

The Investment and Counterparty Risk team sits within in Risk Function and provides independent oversight over a diverse and continuously growing portfolio of assets, currently valued at c. £50bn. Following the appointment of new leadership, the team has been portioned into three main operating activities, i) asset risk, ii) credit rating oversight and validation, and iii) counterparty and enterprise asset management.

This is a new role, leading asset risk oversight, and will report to the Director of Investment and Counterparty Risk. You be required to work collaboratively across the team and the wider Risk Function to provide independent oversight, challenge and support to the First Line in carrying out risk management, and draw together key themes and topics into PIC\’s risk profile.

• You will lead and guide a team to collaborate effectively across the business and Risk Function, providing objective and timely advice, feedback, and opinions supported by evidence
• To provide oversight on investment management activities across the Matching Adjustment (MA) and Non-Matching Adjustment (NMA) portfolios, utilising deep knowledge and understanding of credit, asset and market risks.
• To deliver strong business outcomes relating to capital, profitability, the Company brand and market reputation whilst achieving positive outcomes to our policyholders, shareholders and regulators on a consistent basis.
• Our Company values are expected to be reflected in the delivery and performance of every role.

Specific accountabilities assigned to the role of Head of Asset Risk within the Risk team:

• Own and lead the end-to-end asset risk oversight of the Matching Adjustment (MA) portfolio, including both Public and Private Fixed Income Assets.
• Own and lead the risk oversight of the non-Matching Adjustment (NMA) portfolio, including oversight of equity holdings and other NMA assets.
• Provide a holistic view of the portfolio and oversight and support assets subject to enhanced monitoring and workout.
• Lead the review, challenge and influence over new investments in both the MA and NMA portfolio, understanding the commercial rationale for holding the assets and holistic impact of new assets to PIC.
• Lead the review of pricing portfolios for Bulk Pricing Annuity transactions.
• Oversight and challenge back book optimisation exercises.
• Oversee valuation of the investments, including valuation uncertainty.
• Proactively engage and manage a wide pool key stakeholders to ensure risks are managed in line with our polices and the risk mandate.
• Actively engage with other members of the Investment and Counterparty Risk team, and broader Risk team to supplement Risk views of new or existing investments using deep understanding of credit risk.
• Be able to flex and reprioritise workflow and resources to meet the demands of an evolving landscape.
• Provide assurance to the senior management and the board on risk and controls through periodic deep dive reviews, investigations and general oversight work.
• Provide support to the business with managing day-to-day and new risks to ensure significant risks are properly identified and managed in line with PIC\’s risk appetite as well as giving general advice on good risk management in relation to credit risk
• Lead and develop our people through an exciting period of growth

Knowledge

• Excellent knowledge of asset risk gained through 1st Line or 2nd Line roles
• Expert knowledge of managing or overseeing large and complex asset portfolios, aggregated risks and horizon scanning
• Strong knowledge of the UK regulatory environment, specific solvency regimes, as well as industry best practices in terms of credit risk management
• Deep knowledge of financial products used in MA and Non-MA portfolios. Including, but not limited to Senior Debt, Junior / Mezz, Diversified Capital Funds, Equity and Treasury products with the ability to challenge terms based on industry / market terms
• Deep understanding of financial product documentation including importance of Collateral / Security
• Expert knowledge of asset / cashflows modelling including downside scenarios and recovery analysis
• Strong awareness of external and internal credit rating methodologies, including ability to objectively review and evidence Risk challenge based on industry and market knowledge
• Familiarity with relevant business processes, standards, policies and procedures
• Experience of leading and managing or oversighting workout / stressed situations
• Understands requirements of reviewing pricing portfolios for BPA transactions

Experience

• Prior experience of a risk management role a relevant financial services entities and ability to implement industry best practice at pace (insurance, asset management, banking)
• Proven understanding and experience of performing fundamental credit analysis across financial statements with ability to interpret financial ratios.
• Prior experience of leading or playing a key role in asset workout / restructures.
• Familiarity with relevant business processes, standards, policies and procedures
• Prior experience of implementing process change through new or enhanced policies, procedures and or operating frameworks
• Has overseen valuation of investments, including valuation uncertainty
• Advanced qualification reflective of a high degree of numeracy (FIA, CFA, ACA, CAIA or similar)

Skills

• Strong organisational skills including the ability to flex and reprioritise workflow to meet the demands of an evolving landscape and deadlines
• Strong communication skills, with ability to communicate technical information to senior management and other areas of the business
• Ability to persuade and influence both directly and indirectly
• Ability to manage people and / or other resources effectively
• Ability to work within defined procedures as recommended by functional teams
• Able to provide robust and credible opinion and apply commercial judgement
• Good working knowledge of MS Access, MS PowerPoint, MS Word

In addition to a competitive base salary and the opportunity to participate in our annual, performance-related bonus plan, upon joining us here at Pension Insurance Corporation, you will get access to some great benefits, including private medical insurance, 28 days\’ annual leave (excluding bank holidays), study support with qualifications, a generous pension scheme and much more.