Credit Modelling Actuary
Core
Develop and validate Solvency II Internal Model approaches for credit risk to enhance capital efficiency.
Role type
Senior IC credit modelling actuary
Builds
Credit risk capital models and methodologies for asset classes and investment strategies
Domain
Insurance / Actuarial science / Credit risk
Deliverable
production ML models | dashboards & analysis
Required skills
Solvency II Internal Model methodologies, credit risk capital modelling, rating methodology for illiquid assets, insurance and investment risk, capital management, model calibration and validation
Preferred skills
Python, VBA
Technologies
Python, VBA
Responsibilities
Develop Solvency II Internal Model approach for credit risk, manage annual credit model calibration and validation, promote credit risk capital model usage, develop capital methodologies for new asset classes, enhance credit capital intensity factors, identify opportunities to enhance capital efficiency
Seniority
Senior, hands-on IC
