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ALM Models
hace 4 días
Your work environment
:
Within GIE AXA, a branch of the Group headquarters located in Spain. Internal Model Review (IMR) team is part of Group Risk Management. The team was created to provide an independent opinion to the regulator and to the board of directors on the compliance and consistency of our Internal Model with Solvency II directives. IMR has the following objectives:
- Provide a gap analysis on the compliance of local entities' practices with Group's instructions and/or with Solvency II principles.
- Provide AXA Group's management with an appropriate level of comfort on the quality and adequacy of solvency II metrics reported by entities.
- Ensure robustness and consistency of local methodologies, processes and tools used across entities.
- Contribute to the improvement of the models and risks metrics by tracking potential errors and sharing best practices.
The team is structured in five different areas:
- Assets & ALM standards, Market & Credit Risks,
- Liabilities standards, Best Estimates and Life Risks,
- P&C Risks,
- Operational Risks,
- IFRS17.
Your Mission:
As part of IMR team, the candidate will participate in in-depth reviews of the Internal Model among AXA entities. The candidate will be responsible for performing detailed analysis on the Internal Model, focusing on assets and ALM projected cash flows in Life products.
The candidate will also participate in the analysis of Market, Credit and Aggregation risks, ensuring the alignment between the local practices and the Group requirements. Recently, the scope of the activities of the team has been extended to the review of the Group models.
Key accountabilities:
- Analysis of the Assets and ALM projection in the DFA (Dynamic Financial Analysis) model for Life business. Focusing on:
- Assets projection: Assets model points; Simulations on Risk Neutral environment (Market value evolution, Market consistency adjustment); Projection of different components of investment income; Investment fees.
- Detailed analysis of the implementation in the Internal Model of the main ALM strategy components: Investment Strategy and Strategic Assets Allocation; Profit sharing; Management actions; Time Value Options analysis.
- Reviewing Market and Credit risk Capital models for Life and P&C businesses as well as the Aggregation methodology for the different sub-risk streams. Analysis of scope and local calibrations produced by the entities.
- Conduct technical discussions with the local entities.
- Implement a regular update of the team methodology, suggesting improvements and designing new tests.
- Participation on regular follow-ups with the reviewed entities.
- Contribute to Group Risk Management transversal work streams.
Qualifications:
Education:
- Grade in Financial Mathematics/Engineering, statistics and/or Actuarial Studies
- Language: English advanced (Proficiency or similar)
Experience:
- Desirable 3- 5 years' experience in related positions. Ideally with an actuarial background, or a past in a risk management department or actuarial valuation team/audit function.
- Good knowledge of financial risks risk model principles
- Good knowledge of Life insurance business with a focus on:
- Solvency 2 principles.
- Assets/ALM projections and Market & Credit risks valuation
- Risks identification and measurement frameworks.
- Capital Risk Model i.e. Internal model (Valuable).
- Ideally have exposure to internal models in insurance entities, notably on DFA tools (e.g. RAFM, Prophet, R3S, Sunrise, etc) including:
- Risk neutral / Real world Scenarios.
- Insurance accounting and other regulatory environments.
- Eligible Own Funds (EOF) framework.
- Model Valuation of various asset classes (e.g. securities, corporate bonds, derivatives, alternative assets)
- Experience with the use of VBA valuation tools, and familiarity with programming in languages like C++, Python or R for data manipulation, and risk analysis. (Valuable)
At AXA we actively promote Diversity and Inclusion by offering equal opportunities. Possession of a Disability certificate will be positively valued.
What are you waiting for? Join the AXA family and contribute to the progress of society
