Head of Modelling

6 months ago

London, United Kingdom Canada Life Full time

**Please note this position is being recruited under the SMCR regime.**

Canada Life UK looks after the retirement, investment and protection needs of individuals, families and companies. We help to build better futures for our customers, our intermediaries and our employees by operating as a modern, agile and welcoming organisation.

Part of our parent company Great-West Lifeco, Canada Life UK has operated in the United Kingdom since 1903. We have hundreds of respected and supported employees committed to doing the right thing for our customers and colleagues.

Canada Life UK is transforming to create a more customer-focused business by providing our customers with expertise on financial and tax planning, offering home finance and annuities propositions, and providing collective fund solutions to third party customers.

**Job Purpose**:
Develop, maintain and optimise global credit and market risk models and aggregation methodology to support capital considerations in making strategic business decisions for CLUK and championing its “use” by the business for example in terms of pricing, reinsurance and investment decisions. The role will enable CL UK to implement and embed the use of models to aid strategic and tactical decision making.

This role will have accountability for gaining regulatory approval for new asset classes.

Lead the development and embedding of the Global Canada Life IFRS17 Credit Risk assumptions and modelling and responsible for its ongoing appropriateness and maintenance, including significant interactions with stakeholders ( including regulators and auditors).

To be responsible for the ongoing appropriateness of the Canada Life Limited (and Canada Life Group (CLG)) Partial Internal Model (PIM) in respect of the Credit Risk Model (comprising Bonds, Commercial Mortgages and Equity Release Mortgages (ERM) model components) and Aggregation Model ( including Catastrophe and Longevity), and to successfully develop, embed and ensure the ongoing appropriateness of a PRA approved Market Risk Model (comprising inflation and interest rate model components).

In particular to:

- Lead on all aspects of the methodology, calibration, results, change, 1st line validation and operation of the Credit Risk and Market Risk Models in line with model governance requirements. Act as the delegated owner of both models, supporting the model owner(s) meet their regulatory and internal responsibilities.
- Lead on innovation to optimise the efficiency and effectiveness of capital management through the Credit Risk and Market Risk models; and
- Lead on the provision of effective and timely oral and written, internal and external communications with Senior Executives, the CLL and CLG Boards and the Prudential Regulatory Authority (PRA) as appropriate in respect of both the Credit Risk and Market Risk Models

**Key Responsibilities**:
1) Responsible for the ongoing appropriateness of the PRA approved Credit Risk and Market Risk Models (“the models”) and use of these models to gain regulatory approval for new asset classes:

- Responsible for the development, PRA approval and subsequent embedding of a Market Risk model for CLL/ CLG.
- Oversee / perform the assessment of the appropriateness of methods and calibration assumptions in respect of each of the Bonds, Commercial Mortgages and Equity Release Mortgages Credit Risk model components and the inflation and interest rate components of the Market Risk Model;
- Oversee / perform 1st line validation;
- Monitor the ongoing appropriateness of the models against the range of triggers that may require changes to the model and implement any changes that arise from these triggers and PRA feedback;
- Innovate proposals to make the models (and capital management more generally) more efficient and effective including asset structuring and use of derivatives (including the modelling for collateral);
- Presenting modelling results to optimise risk/return trade-off decisions and promote the “use” of the models for example with the Insurance Business unit in respect of CLUK’s new business pricing and reinsurance strategies
- Support the PIM governance processes for Model Change, Limitations and Expert Judgements, ensuring accurate completion and maintenance of the required templates and reports.
- Oversee the maintenance of documentation for both models in line with the PIM standards.

2) Lead the regular results production process to meet working day timetable requirements:

- Oversee / perform the regular model recalibration exercise;
- Oversee / perform the production of the output required for quarterly / annual SII reporting including the output required for the ORSA.
- Oversee ERM related activity including fair value and capital modelling, basis review and Fixed Trust Cash Flow Note modelling, rating and issuance.

3) Responsible for the production and presentation of high-quality and timely reports and presentations to the following internal and external

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