Internal Model Review –Specialist for Group Capital Model

Your work environment

Within GIE AXA, 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 the AXA Group's top management with an appropriate level of comfort on the quality and the adequacy of the risk's models used by the Group and by the local entities to assess the required capital.
• Ensure the robustness and the consistency of the methodologies, processes and tools used across the Group for the risks assessment.
• Contribute to the improvement of the models and risks metrics by tracking potential errors and sharing best practices.

Historically, the IMR team was only focused on the local entities. Recently, the scope of the team was extended to also cover the models and developments at Group level. This recruitment takes place in the context of this extension of the missions of the team notably for Market & Credit Risks and Life Underwriting Capital Requirement

Don´t lose this opportunity to join a team that keeps growing, with a large diversity of topics.

Your Mission:

As part of the IMR team, the candidate will lead some of the in-depth reviews of the Internal Model, focusing on the two areas listed above (financial risks and L&S technical risks). These reviews can take place both in the local entities and at Group level (in case of models developed and run by central teams), with more focus on the Group reviews given the recent creation of this activity. The candidate will be responsible for performing detailed analysis on the Internal Model, focusing on the modelling choices/approaches, the appropriateness of the codes, the assumptions/calibrations, and the results.

Key accountabilities:

• Develop a methodology to review the Group´s models, with a similar approach to what is done currently with the local entities.
• Review of the codes of the models and challenge of the modelling approaches.
• Review the Life and Financial risks (Market/Credit), as well as the aggregation of the various components. Analysis of the scope, the calibrations, and the application of the shocks, with a particular focus on the models developed and run at Group level.
• Conduct technical meetings with the experts from the Group and from the local entities and deploy the testing procedures.
• Write technical reports summarizing the main deficiencies and areas of improvement identified and present the conclusions to the risk owners and to the top management.
• Ensure the appropriate implementation of the remediation plans and the model changes, both at local and Group levels.
• Participate to the governance around the validation of the Internal Model (S2 committees, STEC working groups, experts' communities, technical workshops, etc).

Qualifications:

Education:

• Degree in financial mathematics, engineering, statistics and/or actuarial sciences (ideally with an IT component around the analysis of codes/algorithms)
• Language: English advanced (Proficiency or similar)

Experience:

• Desirable 5 years' experience in related positions. Also valuable: experience in Market/credit risk models for capital requirement; Ideally with an actuarial background, or a past in a risk management department or actuarial consulting team.
• Experience with programming languages notably with Python and R. Knowledge of other programming languages such as VBA and C is desirable. Analysis of codes, detection of errors in the models
• Desirable experience with Dynamic Financial Analysis (DFA) models.
• Good knowledge of Solvency 2 principles
• Life business valuation techniques, including BEL, DFA tools (e.g. ALM models, Moses/Risk Agility, Prophet, Sunrise, etc.)
• Life risks & Financial risks assessment (Lee-Carter for longevity, CAT mortality & pandemic models, Monte Carlo simulations, replicating portfolios, credit risks tools, etc)

We understand that the candidate's expertise may be more balanced between life or financial risks, but we are looking for a profile that is as transversal as possible, with a willingness to learn and work in both areas.

At AXA we actively promote Diversity and Inclusion by offering equal opportunities. Possession of a Disability certificate will be positively valued.

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