Director, Risk Modelling

Purpose Of This Role
Reporting to the Head of Capital Steering and Measurement, this role offers the right candidate a unique opportunity to work as part of the Capital Steering and Measurement (CSM) team within Group Risk. The successful candidate will lead the risk and capital modelling activities across the Group. Specifically, this person will oversee the application of regulatory capital methods and processes under both Solvency II and Bermuda regimes, and lead the development of the internal Economic Capital framework and oversee its implementation and uses across the Group. The Director will work closely with Group Risk colleagues, Business Unit CROs, as well as Finance and Actuarial functions.
 
Key Contribution Areas

• Lead the setting of the overall risk methodologies & calibration processes, including (but not limited to) Economic Capital, Regulatory Capital (Solvency II and Bermudan regulatory frameworks) and Stress and Scenario Testing.
• Set the governance and operating model around the development of risk models.
• Review and challenge proposed methodology changes at both Group and Business Unit levels, propose alternative approaches when needed.
• Keep up to date with regulatory frameworks (Solvency II, BMA) and advise on appropriate capital treatment for specific / complex exposures (including the use of company specific parameters).
• Advise the Board on the feasibility and scope of a potential Partial Internal Model.
• Support and review the implementation of risk models by the relevant development teams (internal/external).
• Mandate and be a key point of contact for independent validation or audit of risk models, as required.
• Oversee the various uses / applications of the models across the Business (Risk, Finance, Growth) to support the risk strategy and embed risk-based decision-making.
• Expert support for the 2nd line review of quarterly solvency results across the Group.
• Support the risk and capital assessment as part of the quarterly risk reporting process and for the ORSA/GSSA.
• Support the setting of risk appetite and risk limits, and the development of risk metrics and other MI.
• Perform quantitative risk analyses and advise on optimal risk-return trade-offs in line with the risk appetite.
• Present and defend the risk measurement framework in front of the model committee and/or other management committees, as well as key internal and external senior stakeholders including regulators.

Personal Capabilities Required

• Excellent analytical and problem-solving ability: enjoys the challenge of solving difficult problems and trying to understand the workings of complex models/systems.
• Highly organised, able to work to tight deadlines in a fast-paced environment and to manage conflicting priorities.
• Excellent communication skills, both written and verbal with the ability to win commitment from others.

Functional Or Technical Knowledge And Skill Required

• 10+ years’ experience in a quantitative field within financial services.
• Qualification in a quantitative discipline (e.g. quantitative finance, actuarial sciences, mathematics).
• Proven experience in developing quantitative models (preferably regulatory-approved Internal Models).
• Proven experience in project management with active stakeholder management.
• Experience in the Insurance Sector and knowledge of life insurance products.
• Good understanding of financial products across fixed income, equity, alternatives and derivatives.
• Good knowledge of regulatory frameworks (Solvency II a must, Bermuda / IAIS a distinct advantage).

For further details please contact [email protected] or +35316099404.

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