As market risk actuary you will be responsible for leading actuarial and statistical analysis related to market risk, calibrating market risk capital model, developing market risk management framework, advising ALM and hedging strategy
Location: London
Category: Life Actuarial
Type: Permanent
Key responsibilities:
Develop and maintain market risk capital model methodology and assumptions.
Own the market risk capital reporting process by maintaining a well-controlled and efficient quarterly reporting process for market risk capital, establishing a robust analysis of change process to explain the movement in capital results
Ability to communicate complex modelling decisions to senior executives
Support the development of market risk management framework on SII and IFRS17 bases
Support ALM and hedging activities by providing capital related insight (such as market risk MI) for ALM and hedging decision making
Fellow of Institute of Actuaries (or equivalent)
Strong capital modelling experience in market or credit risk space within life insurance industry
Experience with using Principle-Component-Analysis technique in modelling market risk
Practical experience with ALM and hedging for annuities
Strong communication skills, demonstrating a clear and articulate standard of written and verbal communication
Strong skills and experience in managing and motivating a team from a diverse range of professional backgrounds and with varying levels of experience
