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Model Risk Analyst
3 months ago
About the role
We are seeking a quantitative analyst that is familiar with life insurance concepts and model development to support the Head of Model Validation in assessing model risk within the Actuarial and Finance areas of Just.
The role principally involves reviewing high and medium risk models used in Actuarial, Treasury and Investments against a set of tests and standards. Knowledge of financial modelling techniques and approaches is needed alongside technical skills to assess and rebuild parts of 1st line models, build alternative models, comment on the appropriateness of the methodology and the uncertainty of the model outcomes.
You will assess the level of model risk across all teams and draft a summary report to senior stakeholders with key findings. The Financial Risk team provides 2nd line oversight over market risks, counterparty default risk, insurance risks and model risk. This role plays a key part in informing other Financial Risk team members on the model risks in their respective areas as well as others as appropriate.
Responsibilities
- To support the Head of Model Validation in managing and measuring the model risk in Actuarial, Treasury and Investments.
- Develop and maintain the model review framework and guidelines.
- Ensure the accuracy and completeness of the EUC and model inventory.
- Review high and medium rated models against the tests and standards.
- Rebuild parts of the 1st line model and build alternative models to assess model uncertainty.
- Make observations and recommendations and track their resolution.
- Write regular updates to the Board which summarises progress and the current rating of model risk within the organisation.
- Support the Head of Model Validation in performing validation of the internal model.
- Support the Head of Model Validation in reviewing the calculation of the quarterly SCR.
- Model development experience in one or more of Python, VBA, Julia, Matlab, R is essential
- Familiarity with life insurance concepts, stochastic modelling techniques, model calibration and model error assessment is desirable
- Familiarity with financial engineering, model risk management principles is desirable
- Previous experience of statistical and stochastic models or wider internal model methodologies would be a strong advantage
- Programming experience (Matlab, Python, VBA, Julia, R)
- Experience developing and testing asset and liability models
- Ability to assess the materiality of issues and determine appropriate courses of action to inform decisions
- Experience of Solvency II/IFRS 17 as applied to UK life insurers
- Proven problem analysis and resolution skills
- Strong verbal, written communication and interpersonal skills and the ability to communicate complex concepts to people with significantly less knowledge
- A Competitive Salary, Pension Scheme and Life Assurance
- Along with 25 Days Annual Leave plus an Additional Day on us for your Birthday
- Private Medical Cover and Income Protection, just in case
- A generous and highly achievable bonus scheme - paid annually based on individual and company performance against targets
- Opportunity to progress within your career both in-role and within the company
- FREE access to the Headspace App, a 24/7 Employee Assistance Helpline and Trained Physical & Mental Health First Aiders (On-Site)
- A variety of Employee Funded Benefits available to you via our Online Benefits Portal
- Plus, several additional purchase options available for you and your loved ones
We're a FTSE 250 Financial Services company who specialise in retirement solutions and right now, our world is moving pretty quickly.
How people work, save, and plan for the future is all changing. A new generation of retirees needs a new kind of retirement company. A company who will look for new ways of doing things - and will always put the customer first.
That's who we are. We're a company on a mission: to become a beacon for the entire retirement industry. Because we believe everyone deserves a fair, secure, and fulfilling retirement. And with you on our team, we're going to make sure they get it.
We've built our sustainability strategy around the United Nations Sustainable Development Goals (SDG) and have selected goals where we believe we can make the most difference. By aligning our activity with these global goals, we can make sure we play our part in addressing the wider issues facing the planet and leave a positive legacy to the world. You can read more about our sustainability strategy here.
Diversity, equity and inclusion are priorities for us. Having a diverse, talented workforce with colleagues of different backgrounds, world views and experiences is the right thing to do. It's also the most effective way to succeed, innovate and better serve our customers now and in the future. We are committed to our targets on gender and ethnicity and run a number of successful mentoring and sponsorship programmes for our colleagues from diverse backgrounds. We have multiple active employee network groups which champion issues including gender, ethnicity, sexual orientation, disability and neurodiversity. You can read more about our DE&I strategy and commitments here.
What's clear about working at Just is that we care. We care about our customers, our purpose, our environment, inclusivity, wellbeing and most importantly - each other. We look forward to welcoming you to the team soon.
