For Recruiters

Quantitative Financial Risk Manager/Model Reviewer

Swiss Re Services
United Kingdom, London
Posted 3 days ago Hybrid Permanent Competitive
Quantitative Financial Risk Manager/Model Reviewer

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.

 

Country/Location: UK/London

Organizational unit: Financial Risk Management (FRM)

Team: Quantitative Financial Risk Management (QFRM)

Job Family: JF - Risk Management

Corporate Title: depending on experience, AVP or VP

Reports to: Head of FM Validation and Methodology

Type: Permanent staff – 100%

About Swiss Re's Group Risk Management

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.

 

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.​

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 you:

Background

  • Strong academic background with a master's degree or equivalent in a quantitative discipline. A qualification in mathematical finance is preferred.
  • 3+ 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. We also use R, Python.
  • Ability to work with and analyse large complex datasets.
  • Swiss Re is an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, colour, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.

eFCSoSe