Job Description
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