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You will lead and oversee the market and credit risk modelling activities across the Group. Specifically, oversee the application of regulatory capital methods and processes for market and credit risk under both Solvency II and Bermuda regimes, and lead the development of internal Economic Capital framework and oversee its implementation and uses across the Group.



  • Lead the setting of the risk methodologies & calibration processes for market and credit risk, including (but not limited to) Economic Capital, Regulatory Capital (Solvency II and Bermudan regulatory frameworks) and Stress and Scenario Testing
  • Support the setting of the governance and operating model around the development of risk models for market and credit risk
  • Review and challenge proposed methodology changes at both Group and Business Unit levels, propose alternative approaches when needed
  • Keep up to date with regulatory frameworks (Solvency II, BMA, ComFrame/ICS) and advise on appropriate capital treatment for specific / complex investment exposures (including the use of company specific parameters)
  • Support and review the implementation of market and credit risk models by the relevant development teams (internal/external)

Qualifications required:

  • Qualification in a quantitative discipline (e.g. quantitative finance, actuarial sciences, mathematics)

Experience required:

  • 7+ years’ experience in a quantitative field within financial services
  • Proven experience in developing quantitative models for market and credit risk, preferably regulatory-approved Internal Models
  • Experience in project management with active stakeholder management
  • Excellent understanding of financial products across fixed income, equity, alternatives and derivatives
  • Good knowledge of regulatory frameworks (Solvency II a must, Bermuda / IAIS a distinct advantage)
  • Excellent MS Office skills, knowledge of programming languages (e.g. R, Python, VBA) a distinct advantage
  • Job Type: Experienced Job
  • Area of Specialism: Life Assurance
  • Experience Level: Senior Qualified
  • Job Reference: 26980
  • Location: London or Dublin
  • Contract Type: Permanent
  • Employment Type: Full Time
  • Start Date: Immediate
  • Date Posted: 03 Jan 2024
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