Risk Modelling Senior Analyst

6 months ago

Mumbai, India M&G Full time

We will consider flexible working arrangements for any of our roles and also offer work place accommodations to ensure you have what you need to effectively deliver in your role.

Role

The individual should ideally bring multi-asset knowledge and quantitative modelling skills. The role will include a mixture of technical work (development work and business-as-usual) and communication with various stakeholders.

This is a permanent position, reporting to a Risk modelling Manager, which has a blended approach between working from home and our Scotland, London or Mumbai offices.

The wider Risk Modelling team is responsible for economic and market-related methods and assumptions used to place a value on benefits that M&G provides to customers and the assets used to back these liabilities, both on a best estimate basis and for the additional capital held to protect solvency under adverse events. In particular:

The annual calibration of market and credit risks, as well as the dependency structure between risks , which includes collecting data, refreshing analyses, understanding changes, rationalising judgements and presenting conclusions and proposals to senior stakeholders. The refresh of team-owned Solvency II Matching Adjustment policies and the performance of compliance and monitoring exercises required by these policies. Maintaining the methodology for valuing M&G’s lifetime mortgage business in base and stressed conditions. Undertaking ongoing development to the methodology and tools which underpin the calibrations. This involves research and implementation of enhancements, with associated testing and communication. The implementation of new risk models requires interaction with Finance colleagues and the IT developers who own the underlying engine, as well as the users who run the tools. The production of regular market data packs , with responsibility for delivering accurate and timely reports to end users across M&G. The refresh of Solvency II Pillar 1 Group-wide Operating Standards for the production of Solvency II Own Funds and regulatory capital, including ensuring these keep up to date with change in the regulatory environment. The supporting of other asset-related reviews and projects .

Key Responsibilities for this role

To work collaboratively with colleagues and take personal accountability to maintain and enhance controls you are responsible for to support improvement of the overall control environment, customers outcomes and a reduction in M&G’s operational risk. To continue the development of economic and market-related methods and assumptions used to, for example, value options and guarantees, calculate regulatory capital. To ensure appropriate governance. To generate new ideas, make improvements to existing processes and manage expectations.

Key Knowledge, Skills & Experience

Bachelor’s degree, Master’s degree or PhD in a quantitative subject, e.g. mathematics, computer science, actuarial science. 3+ years’ experience of quantitative modelling gained within the insurance, banking or asset management industry. Good knowledge of financial markets. Good knowledge of multiple assets. Good understanding of statistics and statistical methods (e.g. stochastic simulation, VaR methodology and back-testing). Good practical experience of development in Python / C++. The ability to implement novel technical solutions that are pragmatic, so they fit within business needs and produce analysis to support solutions. A track record of successful delivery in pressured environments with the ability to cope with competing demands. Experience of developing working relationships with key stakeholders. Experience of presenting findings and results, and building an understanding of audience-specific communication requirements. Professional designations such as CFA, FRM, FIA/FFA would be viewed as favourable. Experience with research and development of stochastic models is a strong plus.

Work Level: Experienced Colleague

Close Date: 20th June 2024

We have a diverse workforce and an inclusive culture at M&G plc, underpinned by our policies and our employee-led networks who provide networking opportunities, advice and support for the diverse communities our colleagues represent. Regardless of gender, ethnicity, age, sexual orientation, nationality or disability we are looking to attract, promote and retain exceptional people. We also welcome those who take part in military service and those returning from career breaks.

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