Description de poste

Our Client, an international Credit Insurance company, is looking for a Risk Modeller to execute the quarterly and yearly risk capital calculations and participate to the internal model development projects

Challenges

* Development of new generation models

* Strengthening the SCR results analysis process

* Strengthening the annual model testing & review process and the recommendation issuance towards the local entities

* Integration of non modelled entities into the Internal Model

* Optimising internal processes

Main tasks

SCR Calculation:

• Execute the quarterly SCR calculation and reporting

• Execute the yearly planning exercise

• Execute the yearly stress testing exercise

• Execute the ad-hoc scenario analysis exercise

• Interact with colleagues and management in explaining results

Model Review & Testing:

• Execute the yearly review and testing of model components

• Propose necessary improvements to models and develop model changes roadmap

Tools development and maintenance:

• Understand the existing data collection, data transformation, simulation and reporting tool built in SAS

• Understand and maintain the platform used to collect the data from the local entities

• Understand the simulation engine used for the TCI LoB loss simulation

• Propose continuous improvements to the tools' infrastructure and process optimisation

• Participate in the development and implementation of the necessary tools to support the model review, testing, analysis and reporting of SCR

Functional Skills

* Master in Risk Management, Statistics, Quantitative Finance, Data Science or Mathematics

* Experience in the banking industry in the development, review or audit of the credit risk models, experience as a credit analyst

* Coding skills in Python and SAS; R is a strong asset

* Strong understanding of Solvency 2 framework, understanding of best practice model governance requirements an asset

* Project management skills and leadership

* Well organized and efficient

* Strong analytical mindset

* Detailed and result oriented

* Ability to work on several tasks/projects at the same time

* Ability to explain complex topics in a simple way

* Team player

* Easy to communicate with

* Resistant to stress