Quantitative Risk Analyst

3 weeks ago

London, United Kingdom Lancashire Insurance Group Full time

The purpose of this role is to support the Risk Management Function in the development and maintenance of the quantitative aspects of Lancashire’s risk management framework.

A key component of this role will be working closely with the Syndicate Chief Risk Officer and the Risk Actuary with regards to the independent validation of the internal capital model for the Group’s Lloyd’s syndicates.

Role Responsibilities

  • Undertaking validation testing and analysis, across all test types and test categories, involving significant interaction with the capital modelling team.
  • Assisting in the production of the annual Internal Model Validation report and any deep dive / thematic review reports required as part of the annual validation cycle.
  • Involvement in the development, analysis and coordination of stress and scenario tests (including reverse stress testing) in conjunction with the Actuarial Function and the wider business.
  • Assisting in the production and maintenance of the annual testing plan, the validation testing tracker, the capital modelling data requests tracker, and the validation findings log.
  • Liaising with the Capital Modelling team on all aspects of validation testing, including the remediation of open validation findings.
  • Enhancing the existing model validation process, in line with the planned schedule of validation improvements.

You will also provide ongoing support to the Group ERM Function on a wide range of qualitative and quantitative risk management activities, including:

  • Assisting in the development and validation of operational risk scenarios, their annual assessment, and their role in the parameterisation of operational risk within the internal capital models. This includes engaging with stakeholders and subject matter experts from across the business.
  • Assisting in the ongoing development of the risk appetite framework, including the review and enhancement of risk appetite statements, and the identification, monitoring and reporting of key risk indicators (KRI) and key performance indicators (KPI).
  • Contributing to the co-ordination and reporting of risk management information to management on a quarterly basis.
  • Supporting regulatory reporting such as annual ORSAs and GSSAs.
  • Representing the Risk Management Function at relevant forums, providing appropriate and value-adding challenge
  • Engaging with relevant market, professional and regulatory bodies and attending appropriate events to maintain and develop understanding and knowledge of risk management best practice

Essential Skills & Requirements

  • A University degree in a related field (Mathematics, Actuarial Science or another STEM discipline), or the equivalent level of experience
  • A considerable level of experience and commercial exposure to General Insurance in the London and/or Bermudan markets, a significant proportion of which has been spent within a capital modelling or risk management function
  • A strong understanding of the principles and methodologies applied in capital modelling, and practical experience in capital model validation in terms of design and/or operation of validation testing
  • Excellent IT skills, including a high level of proficiency in the Microsoft suite of products including an ability to build complex spreadsheets and generate high quality PowerPoint presentations.
  • Strong work ethic with the ability to meet tight deadlines.
  • Excellent interpersonal skills, with the ability to engage with other functions, locally and remotely, and build effective and enduring working relationships.
  • Strong analytical, technical and presentation skills to enable analysis to be communicated to a non-technical audience
  • Knowledge of Igloo desirable, but not essential

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