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.

Profile

• 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.