Senior Market Risk Actuary

  • 33411
  • Life - Other
  • |
  • Switzerland
  • |
  • Mar 6, 2018
  • Lead Replicating Portfolio production for Market Risk Capital calculations
  • 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 process Interact with a wide range of stakeholders across the whole company 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).
  • 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.