Credit Risk Actuary

Credit Risk Actuary
Hybrid Working
Financial Services

Lorien's leading Pensions and Investment client is looking for a Credit Risk Actuary join the existing team on an initial 12month Contract.
You will be supporting the development of industry leading credit modelling capability, focused primarily on the MAUS rebalancing methodology as part of a Major Model Change, with a strong emphasis on hands-on Python-based model development, as well as supporting broader initiatives within the Credit Modelling function.

This role is working in a Hybrid Model based in either London, Birmingham, or Edinburgh.
This role will be Via Umbrella.

Key responsibilities:

• Support methodology development for Major Model Changes to optimise the credit risk internal model.
• Tactical prototype development and maintenance, enabling timely and accurate production of impacts
• Requirements generation for long-term strategic system build, requiring effective communication with system development workstreams
• Support production of reports to take methodology through governance
• Help produce materials for engaging with regulator
• Maintain regulatory, technical, business and professional knowledge including Solvency II regulations and professional actuarial standards, in an environment of fast-moving regulatory change.

What are we looking for?

• Qualified actuary
• Knowledge/experience of credit risk capital modelling
• Detailed knowledge of SII requirements and Internal Model methodologies
• A good understanding of insurance and investment risk, capital management and capital modelling
• Good understanding of the modelling of Matching Adjustment Under Stress
• Strong Python skills, with experience in a development environment, including debugging and documenting code to support review
• Proven ability to translate complex actuarial methodology into working Python prototypes, and to iterate those prototypes as design decisions evolve.
• Up to date knowledge of latest industry techniques and practices for internal models
• Excellent communication skills with positive stakeholder management experience

IND_PC3

Guidant, Carbon60, Lorien & SRG - The Impellam Group Portfolio are acting as an Employment Business in relation to this vacancy.