Quantitative Financial Risk Analyst

Employer
Swiss Re Management Ltd
Location
London (Central), London (Greater)
Salary
Our final offer to you will be set up fairly, considering the skills and experience that you bring.
Closing date
10 Jun 2022
Reference
109157

View more

Sector
Reinsurance, Risk management
Contract Type
Permanent
Hours
Full Time
Experience/Function
Analyst

About Swiss Re

Swiss Re is one of the world’s leading providers of reinsurance, insurance and other forms of insurance-based risk transfer, working to make the world more resilient. We anticipate and manage a wide variety of risks, from natural catastrophes and climate change to cybercrime. Combining experience with creative thinking and cutting-edge expertise, we create new opportunities and solutions for our clients. This is possible thanks to the collaboration of more than 14,000 employees across the world.

Our success depends on our ability to build an inclusive culture encouraging fresh perspectives and innovative thinking. We embrace a workplace where everyone has equal opportunities to thrive and develop professionally regardless of their age, gender, race, ethnicity, gender identity and/or expression, sexual orientation, physical or mental ability, skillset, thought or other characteristics. In our inclusive and flexible environment everyone can bring their authentic selves to work.

About the Role

This position is part of the Financial Risk Management function which is responsible for model validation tasks for financial market products and internal risk capital.

Make a difference in your career journey at one of the biggest reinsurance companies in the world with 14,000+ professionals in over 60 offices worldwide. This is your opportunity to join about 400 of our Group Risk Management professionals across the world, handling the company's global risk landscape.

In your role, you will handle model validation tasks of financial market products and related requests in Financial Risk Management (FRM).

Main Responsibilities:

  • Work within a multi-location team (London, Zurich and Bangalore) on model validation tasks for derivative and security products valuation and risk methodology, covering various asset classes which include fixed income, equity, credit derivatives, insurance-linked derivative, and commodities.
  • Review market risk aggregation methodologies such as VaR and Stress and credit risk measures. Participate in reviews of the financial modules of the internal risk capital model.
  • Review financial risk representation in insurance products.
  • Model validation tasks require critical analysis of product and modelling technique, model testing (including independent implementation of the model), alternative model analysis, documentation and communication of results and conclusions. Follow up on identified issues, ensure resolution or containment.
  • Produce documentation summarising validation of the model in question, quantify model risk.

About the Team
The Quantitative Financial Risk Management (QFRM) team, based in London, Zurich and Bangalore, is responsible for ensuring that each material model or tool used to determine valuation or risk characteristics of financial instruments is based on sound mathematical and economic concepts, has been implemented correctly, and produces accurate results.

The team also works to develop and maintain the risk methodologies used by FRM to examine risk, and works closely with IT provide robust, fit for purpose IT platforms to enable FRM’s work.

About You

Background:

 

  • Strong academic background with a Master's degree or equivalent in a quantitative discipline. A qualification in mathematical finance is preferred.
  • 6+ years of experience in a modelling or model validation capacity with exposure to financial markets, preferably across asset classes. Management experience is a plus.
  • Actuarial qualifications or professional experience in the field of insurance are welcome.

 

Skills:

  • We expect you to have excellent written communication skills.
  • Self-starter with knowledge of capital markets modelling, and experience in quantitative finance or financial model validation.
  • Can-do attitude with willingness to explore new areas and ability to apply technical knowledge to specific situations is essential.
  • Good organizational skills, ability to handle multiple priorities and meet deadlines.
  • Advanced quantitative skills with the ability and drive to examine evolving systems and methodologies with imperfect documentation.
  • Ability and interest in learning new systems and software environments, as required by model validation projects.
  • Proven programming experience to allow independent model replication. Excellent Excel and VBA skills are required.
  • Ability to work with and analyse large complex datasets.

We are an equal opportunity employer, and we value diversity at our company. Our aim is to live visible and invisible diversity – diversity of age, race, ethnicity, nationality, gender, gender identity, sexual orientation, religious beliefs, physical abilities, personalities and experiences – at all levels and in all functions and regions. We also collaborate in a flexible working environment, providing you with a compelling degree of autonomy to decide how, when and where to carry out your tasks.

We provide feedback to all candidates via email. If you have not heard back from us, please check your spam folder.

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