Capital Actuary

2 weeks ago

London, United Kingdom Pension Corporation Full time

2 weeks ago Be among the first 25 applicants

Pension Insurance Corporation is recruiting for a Capital Actuary to join its Finance Actuarial and Capital team. The Finance Actuarial and Capital team is a new evolution to support PIC’s continued growth and success, intended to enhance PIC’s capital framework and become a centre of excellence and optimisation.

Reporting to our Head of Market Capital, the key focus of the role will be to own and support the maintenance of risks (credit risk, inflation risk, interest rates, currency risk, counterparty, operational and investment funds risk) in the Internal Model. It will also involve ensuring all Internal Model related deliveries to the Business and/or the Regulator are submitted on time and to a high quality.

A significant focus of the role will be on credit risk, including Matching Adjustment in Stress, given this is the most material component of the overall capital. The role will also provide opportunities to work on the development of these risks as part of future Internal Model changes. Different members of the team are directly responsible for other areas of the capital model and assumption categories, however, in practice it is expected that team-members will be cross-trained and collaborative rather than working in silos.

This role sits within the Finance Actuarial and Capital Team as part of the Finance function within the “first line” albeit working closely with the Risk Team. The purpose of the Finance Actuarial and Capital Team is to maintain and develop the Internal Model to ensure it remains appropriate to the PIC business and risk profile. The team is also expected to provide required management information and analysis is to the business in an accurate and timely manner. In addition, it is the team’s responsibility to oversee, maintain and develop best estimate, MCEV and IFRS assumptions for use by PIC in financial reporting.

Key responsibilities:

Capital Framework

  • Contribute to and recommend enhancements to the PIC regulatory capital strategy, framework and assumptions, ensuring that such recommendations are thoroughly analysed and presented
  • Support users of the capital model and its outputs with any queries or issues

Market Risks models

  • Take ownership of some of the market risks (e.g. credit risk or inflation) in the Internal Model to become the subject matter expert. As part of this ensure that:
  • The approach, design, methodology, models, operation for these risks and results remain robust and appropriate for use in the PIC business and are consistent with the PRA approval of the PIC Internal Model framework and its policies
  • The risk calibrations and approaches are remain appropriate and are suitable for use given developments in the business
  • A significant focus of the role will be on credit risk, including the modelling of matching adjustment in stress, given this is the most material contributor to the Market Capital at PIC. Credit risk is a combination of risk related to spread changes, rating changes and default risk, allowing for the offsetting impact of the matching adjustment. We expect this role to make significant contributions to the future (direction of) developments in the credit model
  • Provide insight into the design and implementation of Internal Model developments as and when required
  • Support the team in checking and reviewing the other market risks within the Internal Model as required

Other non-market risks

  • Take ownership of some of other non-market risks with a view to become the subject matter expert
  • Support the team in checking and/or reviewing other non-Market related risks within the Internal Model as required

Other activities

  • Ensure the delivery of management information on the design, assumptions and performance of the model and its components
  • Plan and manage the delivery of ad-hoc quantitative analyses and investigations. If required directly manage a small number of junior resources

Requirements

Essential:

  • Qualified actuary
  • Solid understanding of Solvency II regulatory requirements for Internal Models and matching adjustment
  • Exceptional quantitative and analytical experience, including specialisation in statistics, optimisation techniques and financial economics: ability to advocate and justify in detail the use of one modelling approach over another under challenge from internal and external experts
  • Good stakeholder management skills with a proven ability to communicate and work effectively with senior roles
  • Advanced Excel skills
  • Experience of co-ordinating and delivering projects
  • Excellent written and verbal communication skills, especially in technical matters
  • Familiarity with the programming languages “R”, “Matlab” and/or “Python”

Desirable:

  • Commercial awareness of the marketplace in which PIC operates with a particular emphasis on the UK Bulk Annuity market
  • Experience of dealing with the PRA
  • Familiarity with Bloomberg

Benefits

In addition to a competitive base salary and the opportunity to participate in our annual, performance-related bonus plan, upon joining us here at Pension Insurance Corporation, you’ll get access to some great benefits, including private medical insurance, income protection and critical illness, 28 days' annual leave (excluding bank holidays), a generous pension scheme, support to undertake professional qualifications and much more.

This role offers hybrid working, and we are open to discussing flexible working arrangements too. Seniority level
  • Seniority level Mid-Senior level
Employment type
  • Employment type Full-time
Job function
  • Job function Finance and Sales
  • Industries Technology, Information and Internet

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