Risk Management Specialist, Capital Modelling

3 days ago

London, Greater London, United Kingdom Lloyd Full time
Job Overview
Lloyd's is a leading insurance and reinsurance marketplace that shares collective intelligence and risk-sharing expertise with the brightest minds in the industry. Our goal is to create a diverse and inclusive environment where everyone is treated with dignity and respect.

We are seeking a skilled Risk Management Specialist, Capital Modelling, to join our team. In this role, you will be responsible for managing projects, working with stakeholders, and reviewing the work of junior analysts. You will also be involved in the wider team activities, including reserving and syndicate oversight, as well as managing members of the team.

Main Responsibilities
  1. Manage/support the annual update of the LIM to produce the Lloyd's capital requirement on a number of bases (over a one year and ultimate time horizon, sensitivities, with incremental changes for bridging analyses, etc).
  2. Review and challenge LIM results, providing analysis of change between updates for specific areas - Support the LIM validation process.
  3. Manage/support and promote LIM uses in the wider Lloyd's business, e.g., for the purpose of monitoring risk appetites - Investigate differences between Lloyd's view of syndicates and syndicates' own view.
  4. Ad hoc analyses, e.g., in the wake of major loss events.
  5. Specification and testing of proposed model changes.

Investigations relating to modelling of member capital, including

  1. Manage/support the annual update of the LIM to produce syndicate & member capital requirements on a number of bases (over a one year and ultimate time horizon, with incremental changes for bridging analyses, etc.).
  2. Adapting the LIM to syndicate specific issues, if necessary.
  3. Answering questions with respect to member's diversification.

Parameterisation

  1. Support the annual re-parameterisation exercise by working with the parameterisation team, as required, to review updates to parameters and understand their impact.
  2. Validate updates to the parameterisation in the light of model results.
  3. This covers all key risk areas – insurance risk, market risk, credit risk, operational risk as well as Lloyd's specific central risks.

First line validation

  1. Manage comparisons of central and syndicate capital estimates and identify, quantify, report and if appropriate resolve these.
  2. Manage analysis to support challenge to model output across central model components, including CCK, LCM and LIRM.
  3. Manage analysis to support challenge to the risk-based approach and nature of review of syndicate capital reviews.
  4. Provide significant input to first line validation testing on model appropriateness and completeness.

Ensure ongoing compliance with Solvency II

  1. Discuss Lloyd's responses to PRA questions and issues.
  2. Produce additional analysis to support Lloyd's responses, as required - Manage/support governance around model change is being followed.
  3. Support timely completion of regulatory returns.

Documentation

  1. Manage/support the regular update of the documentation of the LIM to ensure that it remains fit for purpose, useful and complies with regulatory requirements.
  2. During a Major Model change application, support in coordination and delivery of the documentation package. This requires direct production of key documents and drawing on technical resource to deliver supporting documentation.

Relationship and Stakeholder management across the component owners of the LIM and wider stakeholders

  1. Point of coordination between stakeholders across capital – the Lloyd's capital team, Lloyd's treasury team, Lloyd's exposure management team.
  2. Assist Heads of Capital, Treasury and Exposure management in areas related to delivery of model developments and PRA interaction.
  3. Point of coordination between Risk Management (particularly the validation team) and other parts of the Corporation.
  4. Data team and IT, to ensure that requirements arising from developments are notified and specified in good time.

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