Head Capital Modelling and Optimization - Rosebank
more than 14 days ago
Head Capital Modelling and Optimization
Maintain and develop internal capital models
• Reboot, own, build, parameterize, refine, and validate the company’s internal economic capital model
• Implement market leading approaches for risk quantification and risk dependency modelling, with a focus on insurance risk
• Provide economic capital model results on at least an annual basis, with more frequent updates as might be required
• Working with the ACF and Risk teams, ensure the appropriateness of the methodologies and underlying models used as well as the link to the assumptions made in the business plans, calculation of technical provisions and SAM standard formula capital requirements.
• Assess the sufficiency and quality of the data used in the calculation of economic capital requirements, including undertaking an analysis of estimates against experience.
• Use capital model and other tools to quantify all risk exposures, including operational risk.
• Contribute to the effective implementation of the risk-management system, with respect to the risk modelling underlying the calculation of the capital requirements.
• Contribute to the formulation of business strategy through the use of the capital model in decision-making, risk quantification, evaluating strategic alternatives, input into business planning and similar applications.
Identify and action capital optimization strategies, including reinsurance
• Work closely with the Corporate Actuarial teams of each entity within the group to validate SAM standard formula calculations.
• Actively identify capital optimization opportunities across all group companies and for the group as a whole
• Use the ECM to devise reinsurance structures and test capital implications of reinsurance.
• Participate in the development of an internal reinsurance vehicle.
• Identify and help structure suitable reinsurance strategies for capital management purposes.
• Validate economic capital implications for optimization performed on Standard formula entities.
• Work with Finance, Reinsurance, ACF and Risk to implement identified strategies.
Manage quality people practices
• Develop, plan for, implement and take accountability for the strategy and operating model of the Capital Modelling and Optimization department, partnering with the Chief Actuary in response to the business model and organization strategy.
• Establish an aligned departmental Balanced Scorecard focused on the implementation, measuring and management of the departmental strategy.
• Determine the business value chain for the Capital Modelling and Optimization department
• Provide such reports to the regulator as may be required from time to time and interact with the regulator on relevant matters.
• Provide required oversight in areas of the business requiring actuarial sign-off (including ROE and economic capital calculations).
Continuous improvement to ensure effective service
• Ensure statutory and legislative knowledge is always current in order to resolve complaints and to advise the business on corrective solutions to mitigate risks.
• Ensure adherence to organizational policies, practices and procedures.
• Identify solutions to enhance cost effectiveness and increase operational efficiency. 26.7lo