Capital Modelling Manager - Chaucer Group

Job Profile Summary

Co-ordination and provision of risk and capital analysis (regulatory and economic) for Chaucer’s managed syndicates and support for capital related work on other Chaucer entities. Manage the development of the capital model and support the Head of Capital Modelling in integrating the capital model with effective risk management. Communication and presentation of analysis and results to key internal (incl. senior management) and external stakeholders (incl. the parent company and regulator).

Job Description

1. Manage the operation of processes to produce and deliver the regulatory and economic capital requirements (SCR / EC / Standard Formula) for all Chaucer managed syndicates;
2. Support the Head of Capital Modelling in presenting and communicating modelled results and analysis to various stakeholders, including Boards, Committees, third party syndicates and capital providers;
3. Manage parameterisation processes in line with issues raised by regulators, the validation process, business changes and industry best practice;
4. Manage the assessment, escalation and actioning of limitations in capital modelling methodologies, processes and results;
5. Manage the maintenance of Internal Model documentation in line with required tests and standards;
6. Support in the validation of model outputs;
7. Support the Head of Capital Modelling to ensure all capital modelling work is consistent with UK and international regulations and professional guidance; in particular - ensure the ongoing compliance of the Calculation Kernel with relevant Solvency UK Standards;
8. Manage the capital model use framework for Chaucer and further embed use in decision making and risk assessment processes across the Group
9. Liaise with senior management and key stakeholders to align model use to their needs through collaboration, education and providing insight
10. Ensure consistency in application of risk assessment across all uses and decision making
11. Support the optimisation of financial risk profile based on capital efficacy and risk-reward relationships (e.g. investment strategy, underwriting portfolio mix, outwards reinsurance strategy, new classes of business, M&A)
12. Work closely with Outwards Reinsurance Team to model, assess and communicate impact of alternative structures, and provide portfolio insights to aid purchase strategy and optimisation
13. Manage delivery of earnings volatility and risk appetite assessments
14. Manage capital allocation process, including communication of output to end users
15. Manage capital model analyses for ad-hoc and strategic Group initiatives
16. Manage the development and maintenance of controls over all key capital modelling processes;
17. Support the Risk function in the production of the ORSA, including analysis of risk aggregations and changes in risk profile, as well as stress and scenario testing; and
18. Support the Head of Capital Modelling on the liaison with Lloyd’s and the PRA regarding technical elements of SCRs, or the ORSA.
19. Develop, manage and coach capital modelling team members so that they have appropriate opportunities and skills to perform their respective duties.

Our requirements Relevant experience

Essential

1. General Insurance Actuarial
2. Lloyd’s of London
3. Capital modelling
4. Stochastic modelling of insurance and other risks
5. Experience of managing projects / others and being personally accountable for delivery
6. Presenting to and communicating with senior stakeholders (written and verbal)

Desirable

1. Overseen production of Lloyd’s SCRs
2. Interaction with regulators
3. Portfolio optimisation
4. Strategic model use

Technical skills

1. Essential
2. Good knowledge of Word, Excel and Powerpoint
3. Good knowledge of Igloo or equivalent model software
4. Understanding of the Solvency UK framework

Desirable

1. Igloo expert
2. Technical competence with one or more programming languages (e.g. SQL, Python)

Education & Experience Essential

1. Qualified actuary

Desirable

1. Statistical qualifications
2. Enterprise Risk Management / CERA examination pass or equivalent

Personal skills

1. ­Management aptitude
2. ­Analytical skills
3. Enjoys complex problems
4. ­Ability to work in a team
5. ­Ability to take and provide constructive challenge
6. ­Able to work flexibly and adapt to changing conditions and priorities
7. ­Hard working and committed to producing high quality output
8. ­Able to liaise with staff at all levels
9. ­Self-motivated and self-starter
10. Excellent verbal and written communication skills

Other Responsibilities

1. Participation in agency working groups and committees as required

ABOUT US

Chaucer is a leading insurance group at Lloyd’s, the world’s specialist insurance market. We help protect industries around the world from the risks they face. Our customers include major airlines, energy companies, shipping groups, global manufacturers and property groups.

Our headquarters are in London, and we have international offices in Bermuda, Copenhagen, Dubai and Singapore to be closer to our clients across the world. To learn more about us please visit our website.