Market Risk Actuary

Goodman Masson are working with a Life Insurance organisation who is seeking a market risk actuary who 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.

Responsibilities:

• Develop and maintain market risk capital model methodology and assumptions. Ensure the methodology complies with regulatory requirements and reflects the risk profile of the business. Ensure the methodology is up-to-date and reflects the emerging best industry practice by participating in industry surveys and gaining insight into emerging best practices for market risk modelling.
• 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 the change process to explain the movement in capital results.
• Ability to communicate complex modelling decisions to senior executives in an appropriate manner to support governance sign-off of annual recalibration and model updates.
• Being the main conduit between capital model and business to ensure the market risk is well managed and adequately allowed for in business decision making.
• Support the development of a 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.
• Provide guidance to the system development team and ensure the underlying model is based on signed-off methodology and assumptions.
• Manage, coach, develop and motivate junior members of the team to support their development.

Qualifications & Skills:

• A Fellow of the Institute of Actuaries (or equivalent).
• Strong capital modelling experience in the market or credit risk space within the life insurance industry.
• Experience with using Principle-Component-Analysis technique in modelling market risk.
• Practical experience with ALM and hedging for annuities.

To learn more about this exciting opportunity, please get in touch with Fabio Da Silva Faria:

E - fabio.dasilvafaria@goodmanmasson.com

T - +44 (0)78 272 590 53