MISSION:
Within GIE AXA, Internal Model Review (IMR) team is part of Group Risk Management. The team was created to provide an independent opinion to the regulator and to the board of directors on the compliance and consistency of our Internal Model with Solvency II directives. IMR has the following objectives:
- Provide the AXA Group’s top management with an appropriate level of comfort on the quality and the adequacy of the risks models used by the Group and by the local entities to assess the required capital.
- Ensure the robustness and the consistency of the methodologies, processes and tools used across the Group for the risks assessment.
- Contribute to the improvement of the models and risks metrics by tracking potential errors and sharing best practices.
The IMR team is structured in different areas:
- Assets & ALM standards, Market & Credit Risks,
- Liabilities standards, Best Estimates and Life Risks,
- P&C Risks,
- Operational Risks,
- IFRS17.
Historically, the IMR team was only focused on the local entities. Recently, the scope of the team was extended to also cover the models run and developed at Group level. This recruitment takes place in the context of this extension of the missions of the team. Don´t loose this opportunity to join a team that keeps growing, with a large diversity of topics.
As part of the IMR team, the candidate will lead some of the in-depth reviews of the Internal Model, focusing on P&C risks. These reviews can take place both in the local entities and at Group level (in case of models developed and run by central teams), with more focus on the Group reviews given the recent creation of this activity. The candidate will be responsible of performing detailed analysis on the Internal Model, focusing on the modelling choices/approaches, the appropriateness of the codes, the assumptions/calibrations, the appropriateness of the results.
Key Accountabilities:
- Develop a methodology to review the Group´s models, with a similar approach to what is done currently with the local entities.
- Review the P&C risks: analysis of the scope, the calibrations, and the application of the shocks, with a particular focus on the models developed and run at Group level (CAT risks).
- Review of the codes of the models and challenge of the modelling approaches.
- Conduct technical meetings with the experts from the Group and from the local entities and deploy the testing procedures.
- Write technical reports summarizing the main deficiencies and areas of improvement identified and present the conclusions to the risk owners and to the top management.
- Ensure the appropriate implementation of the remediation plans and the model changes, both at local and Group levels.
- Participate to the governance around the validation of the Internal Model (S2 committees, STEC working groups, experts’ communities, technical workshops, etc).
Qualifications:
Education:
- Degree in financial mathematics, engineering, statistics and/or actuarial sciences (ideally with an IT component around the analysis of codes/algorithms).
Experience:
- Minimum 3-4 years in a risk management department, in an actuarial team, in actuarial audit or consulting
- Good knowledge of Solvency 2 principles
- Insurance accounting and regulatory frameworks
- Risks identification and risks measurement processes
- Eligible Own Funds (EOF) and Solvency Capital Requirements (SCR)
- Ideally, exposure to Internal Models at AXA or in other insurance Groups
- Good knowledge of the P&C techniques, with a particular focus on catastrophic risks if possible (nat cat & cat man-made):
o Generic P&C models, e.g. chain ladder, bootstrap, Merz&Wüthrich
o Generic P&C tools, like ReMetrica or equivalent
o Knowledge of Nat Cat theories (modeling of the hazards, calibration of the vulnerability curves) and Nat Cat tools (AIR, RMS or others) would be highly appreciated
- Experience with programming languages: VBA, C++, Python or R for example
- IT skills & appetite: analysis of codes, detection of errors in the models
Soft skills:
- Multicultural mindset and ability to work in transversal multinational team.
- Pro-active and autonomous.
- Ability to conduct interviews in English.
- Capacity to challenge experts from the Group central teams and from the local entities to ensure the robustness of the models and the correct application of the standards / guidelines.
- Capacity to write in English detailed reports, and/or to summarize findings/recommendations.
- Good analytics and formalization skills.
- Appetite for short time travels throughout the AXA Group.
At AXA we actively promote Diversity and Inclusion by offering equal opportunities. Possession of a Disability certificate will be positively valued.
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