Our client, an international insurance company, is looking for a Risk Modeller to strengthen its Risk Modelling team
From a global perspective, the future Risk Modeller will cover the following tasks:
- Building a new generation of credit models, using Machine Learning techniques, over the period 2021-2024,
- Developing analysis tools using VBA, R, Python and/or SAS to improve the monitoring of the company’s model (quantitative testing) as well as the results,
- Implementing complete statistical tests on the parameters of the company’s credit insurance model, and their execution on an annual basis,
- Ensuring methodological consistency between the Credit VaR approach and actuarial classical approaches on premium risk,
- Executing the capital risk calculations on a quarterly basis,
- Executing calculations and analysis for stress testing purposes,
- Monitoring and controlling the company’s credit concentration risk. …
- Master’s degree in actuarial science, statistics, mathematics or another quantitative field.
- At least 2 years of experience in modelling or risk model validation,
- Programming skills in VBA, SAS, R, and/or Python,
- Strong learning skills,
- Strong interpersonal skills,
- Good communication skills and ability to present complex topics to different interlocutors in a clear and simple way,
- Fluency in English is a must, both verbal and written.