Quant Modeller – Assets for derivatives recruitment
Background and Purpose
Ø Solvency II requires independent model testing verification
Ø An insurance company in general and risk management in particular is based on very complex models which need to be reviewed and challenged from a 2nd Line of Defense (LoD).
Job Scope
Ø All models relating to assets and liabilities from a 2nd LoD point of view, including validation, risk management, Solvency II, hedging
Principal Accountabilities
Ø Ensure that models are adequately reviewed and challenged both with respect to their description and also as to whether the principles and descriptions are fit for the intended purpose according to respective requirements, in particular to the internal guidelines and Solvency II
Ø Ensure that principal risks and effects are adequately captured within the models
Ø Thought leadership in respect to further developing models and risk applications with the aim that firm gains a competitive advantage
Ø Reporting to the Head of Model Control and Verification
Core Competences Required
Ø Quantitative background
Ø Indepth knowledge of modelling assets for derivatives
Ø Understands new forms of complex assets / derivatives and their application for dynamic hedging strategies, such as ALM
Ø Literate in hedging derivatives and their market