As part of Global Risk Management, the Actuary of Model Validation will be a key team member in supporting validation of models used throughout the Global Enterprise and include those used in Financial Reporting, Cash Flow Testing, Pricing, Asset-Liability Management, Economic Capital and Hedging. The Actuary will report to the Assistant Vice President of the Enterprise Model Validation.
Build independent challenger models.
Assess the conceptual and theoretical soundness of each model based on mathematical, actuarial and finance theories.
Evaluate the appropriateness of assumptions, data sources and reliability of inputs.
Test model output through back testing, sensitivity analysis, stress testing or other analysis as applicable.
Assist in writing and reviewing validation reports illustrating the relevant results of theoretical review and testing, calling attention to areas of concern, and/or uncertainty.
Monitor findings, recommendations and management action plans resulting from validation reports, ensuring actions taken appropriately to address concerns.
Review and challenge annual model risk assessments.
Prepare metrics reporting as necessary.
Essential Business Experience and Technical Skills:
Bachelors degree in mathematics, statistics, actuarial science, finance, investment and securities and investment management.
5+ years’ experience working in the insurance industry.
ASA or FSA designation.
Prior modeling experience and knowledge of programming languages.
Excellent verbal and written communication skills.
Ability to complete assignments with attention to details within established time frames.
Graduate degree in Mathematics or Physics.
Competency in high level programming languages such as C++.
Strong financial engineering background with experience in derivatives.
Knowledge in asset and liability modeling.
Global Risk Management – Model Risk Management* The salary listed in the header is an estimate based on salary data for similar jobs in the same area. Salary or compensation data found in the job description is accurate.
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