Model Risk Analyst
Date Posted: 10/07/2024
Location: London
Job Type: Full time
Apply NowAbout the role
We are seeking a quantitative analyst that is familiar with life insurance concepts and model development to support the Head of Model Validation in assessing model risk within the Actuarial and Finance areas of Just.
The role principally involves reviewing high and medium risk models used in Actuarial, Treasury and Investments against a set of tests and standards. Knowledge of financial modelling techniques and approaches is needed alongside technical skills to assess and rebuild parts of 1st line models, build alternative models, comment on the appropriateness of the methodology and the uncertainty of the model outcomes.
You will assess the level of model risk across all teams and draft a summary report to senior stakeholders with key findings. The Financial Risk team provides 2nd line oversight over market risks, counterparty default risk, insurance risks and model risk. This role plays a key part in informing other Financial Risk team members on the model risks in their respective areas as well as others as appropriate.
Responsibilities
To support the Head of Model Validation in managing and measuring the model risk in Actuarial, Treasury and Investments.
Develop and maintain the model review framework and guidelines.
Ensure the accuracy and completeness of the EUC and model inventory.
Review high and medium rated models against the tests and standards.
Rebuild parts of the 1st line model and build alternative models to assess model uncertainty.
Make observations and recommendations and track their resolution.
Write regular updates to the Board which summarises progress and the current rating of model risk within the organisation.
Support the Head of Model Validation in performing validation of the internal model.
Support the Head of Model Validation in reviewing the calculation of the quarterly SCR.
Skills & Experience
Model development experience in one or more of Python, VBA, Julia, Matlab, R is essential
Familiarity with life insurance concepts, stochastic modelling techniques, model calibration and model error assessment is desirable
Familiarity with financial engineering, model risk management principles is desirable
Previous experience of statistical and stochastic models or wider internal model methodologies would be a strong advantage
Programming experience (Matlab, Python, VBA, Julia, R)
Experience developing and testing asset and liability models
Ability to assess the materiality of issues and determine appropriate courses of action to inform decisions
Experience of Solvency II/IFRS 17 as applied to UK life insurers
Proven problem analysis and resolution skills
Strong verbal, written communication and interpersonal skills and the ability to communicate complex concepts to people with significantly less knowledge
Company Benefits
A Competitive Salary, Pension Scheme and Life Assurance
Along with 25 Days Annual Leave plus an Additional Day on us for your Birthday
Private Medical Cover and Income Protection, just in case
A generous and highly achievable bonus scheme – paid annually based on individual and company performance against targets
Opportunity to progress within your career both in-role and within the company
FREE access to the Headspace App, a 24/7 Employee Assistance Helpline and Trained Physical & Mental Health First Aiders (On-Site)
A variety of Employee Funded Benefits available to you via our Online Benefits Portal
Plus, several additional purchase options available for you and your loved ones