Conducting financial analysis of variable annuity market risk using the Solvency II Monte Carlo Value-at-Risk Short Term Economic Capital model.
• Calculating and reporting quarterly market consistent duration and convexity gaps, including interim monthly estimates.
• Analyzing derivatives and investment strategies, and assessing the impact of future management actions, and providing recommendations to reduce company exposure to financialrisk.
• Planning, execution, controls and delivery of Standard Formula approach under Solvency II.
• Supporting Investment/Derivatives and VA teams on research and Asset Liability Management projects.
• Supporting the calculation of the quarterly IFRS Attribution-at-Risk indicator for VA dynamic hedging program.
• Supporting the quarterly calculation of Credit risk within the Short Term Economic Capital Model.
• Supporting quarterly Risk Book and annual Solvency II Own Risk Self-Assessment (ORSA) reporting.
• Providing trainings on financialrisk indicators and produce periodic strategic plan projection of risk indicators.
• Master’s degree in Financial Engineering plus 2 years of experience or FSA.
• Strong organization and planning skills
• Solid interpersonal/relationship management/communication skills – the ability to foster good working relationships with business partners is needed to gather required data and analysis.
• Software skills including MS Office/Excel/VBA