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Senior Manager Market and Credit Risk modelling - Athora Group, via Financial Assets Actuarial Executive Search

Location: hybride
Employment: Full-time
Based in one of Athora’s European offices, this role offers the right candidate a unique opportunity to lead the market and credit risk modelling developments across the Group.

About Athora Group

Athora is an insurance and reinsurance group fully focused on the European market. We focus on growing our franchise, via acquisition, transfer, or reinsurance of portfolios from other insurers, and delivering a competitive long-term return to our customers. Our principal operational subsidiaries are Athora Netherlands (including the Zwitserleven and Reaal brands), Athora Lebensversicherung in Germany, Athora Ireland, Athora Belgium and Athora Life Re, a Bermuda-domiciled reinsurer. Our acquisition of Italian life insurer, Amissima Vita, is expected to close in the first half of 2022, subject to applicable regulatory clearances. Athora has about 2,300 employees and over 2 million policyholders with €79 billion of assets under administration at 30 June 2021. We have ambitious plans to grow our business across Europe and we are looking for team players to join us on our journey.

Working at Athora Group

We offer a fast-paced, dynamic work environment where our actions define us, more than any words or promises. We innovate to keep our business at the forefront of the market. People are at the heart of what we do, and we always value that humanity. We do what we do as well as we can because we are about improving lives, inside and outside our business.

Executive Summary

Role Title: Senior Manager Market and Credit Risk modelling
Reporting to: Director Risk Modelling
Team: Group Risk
Function: Risk
Location: Flexible across Europe

Purpose of this role

Based in one of Athora’s European offices, this role offers the right candidate a unique opportunity to lead the market and credit risk modelling developments across the Group. The successful candidate will play a key role in the market and credit risk assessment approach within the Athora Group under the different regulatory regimes (Solvency II and Bermuda regimes) as well the internal Economic Capital framework. The role will involve leading various initiatives in the area of market and credit risk, requiring strong project and stakeholders’ management.

Key Contribution Areas

Internal Economic Capital

  • Lead the development of Athora Group’s Internal Economic Capital framework for market and credit risks, that could be further developed into Internal Model under the relevant regulatory regimes
  • Manage the relationship with external advisory partners in relation to developments of these models
  • Develop the P&L attribution for these risks based on the internal risk factors
  • Lead the calibration of correlations within market and credit risk

Solvency II and Bermuda regulatory regime

  • Develop the market and credit risk SCR methodology under the different regulatory framework (Solvency II and Bermuda regimes)
  • Lead the Group Specific Parameters (GSP) process for the use of Athora’s Internal Credit Assessment in the Bermuda SCR calculations
  • Lead the Group Specific Parameters (GSP) process for the recognition of non-standard asset classes in the Scenario Based Approach (SBA) model used for calculating Technical Provisions under the Bermuda regulatory framework

Solvency Self-Assessment (SSA)

  • Lead the assessment of the Regulatory Capital Appropriateness for market and credit risk, for the Business Units (as part of the local Own Risk Self-Assessment) and for the Group (as part of the Group Solvency Self Assessment)
  • Design Stress Test and Reverse Stress Test scenarios linked to market and credit risk to be assessed as part of the SSA process for the Business Unites and for the Group 

Risk Appetite and Limit setting

  • Lead the setting of quantitative limits for market and credit risk, based on Athora’s Risk Appetite set by the Board
  • Oversee the application of limits within the business
  • Advise on optimal risk-return trade-offs consistent with the Athora’s Risk Appetite (e.g., during the setting of the Strategic Asset Allocation process)

Pricing and Reinsurance

  • Develop/refine the approach used to assess market and credit risk for pricing purposes and oversee its application within the growth segments: new business, M&A and (inward) reinsurance

Personal Capabilities Required

  • Highly motivated individual who is able to work under pressure
  • Able to lead and manage multiple strategic projects under time pressure while keeping key stakeholders appropriately informed
  • Drive and determination to achieve on-time, accurate high-quality results in a complex, often changing environment
  • Able to work independently to assess, analyse and provide recommendations for complex issues
  • Strong team player with high level of diplomacy and influencing skills
  • Possesses excellent communication skills (both written and oral) with an ability to persuade and influence at all levels of the organisation with ability to present information effectively and clearly
  • Strong service attitude, strives for efficiency and effectiveness

Functional or Technical Knowledge and Skill Required

  • 7+ years’ experience within a risk, investment, or actuarial function
  • Qualification in a quantitative discipline (e.g., quantitative finance, mathematics, economics) and/or Qualified Actuary
  • Proven experience in development of quantitative models for market and credit risks
  • Proven experience in project management with active stakeholder management
  • Good understanding of financial products across fixed income, equity, alternatives, and derivatives
  • Good knowledge of regulatory frameworks (Solvency II a must, Bermuda a distinct advantage)
  • Knowledge of programming languages (e.g., R, Python, VBA) a plus.
Location:
hybride

Information and application:

Apply:

To fulfil this vacancy Athora Group is working together with Financial Assets Actuarial Executive Search.

Please send your application for Senior Manager Market and Credit Risk modelling at Athora Group including your CV via info@financialassets.nl .

Job posted
16 juni 2022
More information:
contactpersoon
Linkedin
 
Contact:
Ton van de Steenoven
Partner/Consultant
t. +31 (0) 35 539 5310
m. +31 (0) 6 150 821 98
E-mail

or

contactpersoon
LinkedinTwitter
 
Contact:
Anno Bousema
Partner / Consultant
t. +31 (0) 20 219 15 65
m. +31 (0) 6 533 097 52
E-mail

Read all about working at Athora Group

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