Senior Market Risk Actuary (80-100%)

Zurich Insurance Company Ltd
Zurich, Switzerland
Mar 18, 2018
Apr 18, 2018
Job Function
Industry Sector
Finance - General
Employment Type
Full Time

Your Role

In this role you will join a specialist team of senior life actuaries in Zurich supporting the internal model calculation of market risk in respect of the life business of the Zurich Group. You will lead the centralized production of Replicating Portfolios for the Group's life liabilities, prepare analyses and reports for senior management and perform ad-hoc analyses on life market risk, supported by a dedicated actuarial production team based in Bratislava. You will also be responsible for maintaining and developing the production processes, models and methodologies, and actively contribute to the identification and implementation of further automation opportunities into existing processes. In doing so, you will work closely with a wide range of stakeholders including Group Investment Management, Group Risk Management, Bratislava Competence Center and Zurich Business Units worldwide.

As a Senior Market Risk Actuary your main responsibilities will involve:

• Lead Replicating Portfolio production for Market Risk Capital calculations with support from our Bratislava Competence Center's actuarial team
• Produce regular analyses and reports in addition to ad-hoc analyses on market risk-related topics
• Lead continuous improvements on process automation and methodologies
• Maintain the control framework for end-to-end production processInteract with a wide range of stakeholders across the whole Zurich Group and externally on market risk-related topics
• Support theoretical methodology developments and investigations on alternative proxy modeling techniques and calibration approaches (e.g. machine learning)

Your Skills and Experience

As a Senior Market Risk Actuary your skills and qualifications will ideally include:

• Master in quantitative finance, mathematics or related subjects. Postgraduate degree or additional professional qualification is a plus (e.g. qualified actuary, FRM, CFA, etc.)
• More than 5 years of relevant experience working in Replicating Portfolios, proxy modelling techniques e.g. LSMC, and/or economic capital modelling
• Sound knowledge of life business and of risk capital management theory and practice
• Advanced IT skills. Experience with Excel and VBA is necessary
• Experience in Python, Matlab and/or SQL is a strong plus
• Strong process and organizational skills; Prior management experience is a plus
• Excellent English communication skills (verbal and written)
• Analytical mind-set, detail oriented, with a strong commitment to quality
• Highly cooperative, flexible, and enthusiastic team-player
• Strong sense of responsibility and adherence to deadlines
• Ability to build and maintain relationships across functions

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