Quantitative Risk Specialist

4 weeks ago


Stirling, Stirling, United Kingdom M&G Full time
Role

The Risk Modelling team at M&G is responsible for economic and market-related methods and assumptions used to place a value on benefits that M&G provides to customers and the assets used to back these liabilities.

This role will include a mixture of technical work (development work and business-as-usual) and communication with various stakeholders.

The individual should ideally bring multi-asset knowledge and quantitative modelling skills.

  • The annual calibration of market and credit risks, as well as the dependency structure between risks, which includes collecting data, refreshing analyses, understanding changes, rationalising judgements and presenting conclusions and proposals to senior stakeholders.
  • The refresh of team-owned Solvency II Matching Adjustment policies and the performance of compliance and monitoring exercises required by these policies.
  • Maintaining the methodology for valuing M&G's lifetime mortgage business in base and stressed conditions.
  • The production of regular market data packs, with responsibility for delivering accurate and timely reports to end users across M&G.
  • The refresh of Solvency II Pillar 1 Group-wide Operating Standards for the production of Solvency II Own Funds and regulatory capital, including ensuring these keep up to date with changes in the regulatory environment.
  • The supporting of other asset-related reviews and projects.
Key Responsibilities for this role
  • To work collaboratively with colleagues and take personal accountability to maintain and enhance controls you are responsible for to support improvement of the overall control environment, customer outcomes and a reduction in M&G's operational risk.
  • To continue the development of economic and market-related methods and assumptions used to, for example, value options and guarantees, calculate regulatory capital.
Key Knowledge, Skills & Experience

Essential:

  • Bachelor's degree, Master's degree or PhD in a quantitative subject, e.g. mathematics, computer science, actuarial science.
  • 3+ years' experience of quantitative modelling gained within the insurance, banking or asset management industry.
  • Good knowledge of financial markets.
  • Good knowledge of multiple assets.
  • Good understanding of statistics and statistical methods (e.g. stochastic simulation, VaR methodology and back-testing).
  • Good practical experience of development in Python/C++.
  • The ability to implement novel technical solutions that are pragmatic, so they fit within business needs and produce analysis to support solutions.
  • Experience of presenting findings and results, and building an understanding of audience-specific communication requirements.

Desirable:

  • Professional designations such as CFA, FRM, FIA/FFA would be viewed as favourable.

Work Level: Experienced Colleague

We have a diverse workforce and an inclusive culture at M&G plc, underpinned by our policies and our employee-led networks who provide networking opportunities, advice and support for the diverse communities our colleagues represent.



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