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SENIOR RISK MODELLER

Job Level:  Professional
Location: 

FR

Available until: 
Area of Expertise:  Risk Management
Unit:  Allianz Trade
Employing Entity: 
Job Type:  Full-Time
Remote Job:  Not applicable
Employment Type:  Permanent
ID:  5397

Euler Hermes, the world’s leading provider of credit insurance services, helps its customers around the globe to trade wisely and develop their business safely. With 6,000 employees from more than 70 nationalities, in over 50 countries, Euler Hermes offers a complete range of services for the management of B-to-B trade receivables. Euler Hermes has developed a credit intelligence network to analyze the financial stability of 40+ million businesses across the globe. Euler Hermes, a company of Allianz, is rated AA by Standard & Poor’s. At Euler Hermes, we are committed to support our employees in every step of their professional journey, provide tailor-made development programs and open gateways to international opportunities. We encourage them to take ownership and accountability, and to dare to make a difference! For more information visit http://www.eulerhermes.com/

- The role:

Under the responsibility of the Head of Risk Modelling:
  * Lead and contribute to the new model development and implementation projects
  * Lead and contribute to the calculation, analysis and reporting of the SCR
  * Lead the timely review and maintenance of models and parameters
  * Lead and develop the yearly model testing and review
  * Lead and contribute to the independent validation of the central model components

 

- Main tasks:

New models:
• Act as project manager for the implementation of new S&G model
• Act as quality assurance/reviewer to ensure methodological consistency on new LGD and EAD models

Internal Model Parameters:
• Lead and coordinate the methodological discussions on parameters calibration
• Review the calibration process and results before feeding the SCR calculation

Model Review & testing:
• Lead, review and improve the yearly review and testing of model components
• Propose necessary improvements to models and develop model changes roadmap

SCR Calculation:
• Lead the quarterly SCR calculation and reporting
• Lead the yearly SST exercise for the Swiss captive
• Lead the yearly planning exercise
• Lead the yearly stress testing exercise
• Interact with colleagues and management in explaining results
• Review the granular analysis of SCR results and movements

Tools development and maintenance:
• Propose continuous improvements to the tools' infrastructure and process optimisation
• Lead the development and implementation of the necessary tools to support the model review, testing, analysis and reporting of SCR
• Develop and implemement the necessary tools' maintenance governance and procedure

Model Validation:
• Lead and contribute to the independent validation of central model components for the assigned scope
• Defend opinion in front of stakeholders and regulators

 

- Experience:

* Master in Statistics, Quantitative Finance, Data Science or Mathematics; Actuarial background a strong asset
 * Min 5y experience in P&C segment, in the development, review or audit of premium risk models; proven experience in leading complex and large scale model development projects an asset
 * Coding skills in SAS & VBA, Python and R a strong asset
 * Strong understanding of Solvency 2 framework, understanding of best practice model governance requirements an asset
 * Project management skills and leadership
 * Well organized and efficient
 * Strong analytical mindset
 * Detailed and results oriented
 * Ability to work on several tasks/projects at the same time
 * Ability to explain complex topic in a simple way
 * Team player
 * Easy to communicate with
 * Resistant to stress
 * Fluent in English (spoken and written)

If you are interested in the position above and think you have the right profile please follow the online application process. For more detailed information on the company and our career opportunities please go to our website: https://www.eulerhermes.com/en_global/careers/