Modelling Expert – Model Risk Management

Infastage
  • Post Date: May 13, 2017
  • Applications 0
  • Views 656
Job Overview

As a Modelling Expert in the model risk management team, you will independently validate models in use throughout the Group. Models in scope include capital and replicating portfolio models used for SII and SST, as well as strategic models in valuation, pricing or risk selection.As a Modelling Expert your main responsibilities will involve:

•Support the business in the interpretation of MRM (Modelling Risk Management) policies and standards

•Challenge the results of inventory and risk assessments

•Support the definition of the validation scope

•Review and challenge the results of the validation activities performed by group business functions

•Specify, implement and execute validation tools and tests

•Identify, quantify and assess weaknesses and limitations of models

•Prepare validation reports and documentations

•Cooperate with key partners in the validation process

•Provide model knowledge and insights and advise on prioritization for model developments and change processes

•Master degree in Mathematics/Statistics/Finance, Actuary, or at least 5-10 years of relevant work experience in a financial institution or a consulting firm•Solid experience in modeling for valuation and economic capital

•Excellent understanding of risk embedded in insurance or financial products

•Excellent understanding of risks in models, related processes and underlying data

•Project experience as well as strong communication and relationship building capabilities

•Strong analytical skills

•Fluent written and spoken English is a must

Job Detail
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