Lead Risk Modelling Analyst

3 weeks ago

Edinburgh, Edinburgh, United Kingdom M&G Full time

We are open to flexible working arrangements for all positions and provide workplace accommodations to ensure you have the necessary resources to succeed in your role.

Position Overview

The ideal candidate will possess extensive knowledge across multiple asset classes and strong quantitative modelling capabilities. This role encompasses a blend of technical tasks (development and routine operations) and engagement with various stakeholders.

This is a permanent role, reporting to a Risk Modelling Manager, featuring a hybrid work model that includes both remote work and collaboration with colleagues in various offices.

The Risk Modelling team is tasked with developing economic and market-related methodologies and assumptions that help assess the value of benefits provided to clients and the assets backing these liabilities, both on a best estimate basis and for additional capital held to safeguard solvency during adverse scenarios. Specifically, the responsibilities include:

Conducting the annual calibration of market and credit risks, along with the interdependencies between risks, which involves data collection, analysis updates, understanding changes, rationalizing judgments, and presenting conclusions to senior stakeholders. Updating the Solvency II Matching Adjustment policies owned by the team and performing necessary compliance and monitoring exercises. Maintaining the valuation methodology for M&G's lifetime mortgage business under both normal and stressed conditions. Engaging in ongoing development of methodologies and tools that support the calibrations, including research and implementation of enhancements, testing, and communication. The rollout of new risk models necessitates collaboration with Finance teams and IT developers, as well as the end users of these tools. Producing regular market data reports, ensuring accurate and timely delivery to stakeholders across M&G. Updating the Solvency II Pillar 1 Group-wide Operating Standards for generating Solvency II Own Funds and regulatory capital, ensuring alignment with changes in the regulatory landscape. Supporting various asset-related reviews and projects.

Key Responsibilities

Collaborate with colleagues and take personal responsibility for maintaining and enhancing controls to support improvements in the overall control environment, customer outcomes, and reduction of operational risk. Continue developing economic and market-related methodologies and assumptions used for valuing options and guarantees, as well as calculating regulatory capital. Ensure proper governance is in place. Generate innovative ideas, enhance existing processes, and manage stakeholder expectations.

Required Knowledge, Skills & Experience

Bachelor's, Master's, or PhD in a quantitative discipline such as mathematics, computer science, or actuarial science. Over 3 years of experience in quantitative modelling within the insurance, banking, or asset management sectors. Strong understanding of financial markets. Proficient knowledge of multiple asset classes. Solid grasp of statistics and statistical methods (e.g., stochastic simulation, VaR methodology, and back-testing). Practical experience in development using Python or C++. Ability to implement innovative technical solutions that align with business needs and provide analytical support. Proven track record of successful delivery in high-pressure environments with the capacity to manage competing priorities. Experience in cultivating working relationships with key stakeholders. Proficient in presenting findings and results, with an understanding of audience-specific communication needs. Professional qualifications such as CFA, FRM, or FIA/FFA are advantageous. Experience in the research and development of stochastic models is a significant plus.

Work Level: Experienced Colleague

At M&G plc, we pride ourselves on having a diverse workforce and an inclusive culture, supported by our policies and employee-led networks that offer networking opportunities, advice, and support for the diverse communities our employees represent. We are committed to attracting, promoting, and retaining exceptional talent, regardless of gender, ethnicity, age, sexual orientation, nationality, or disability. We also welcome individuals who have served in the military and those returning from career breaks.

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