Reports to: Head of Capital/Enterprise Risk Manager

SUMMARY OF ROLE:

The primary focus of the role is to support the Enterprise Risk Management team in the operation, development and maintenance of the internal model, including statutory and regulatory requirements. This includes running, parameterising and reporting of the internal model. To assist in embedding the internal model within the business and ensure that the processes and procedures around the model are compliant with the tests and standards of Solvency II, PRA and Lloyd’s.

In addition, the role includes providing technical support to the broader objectives of the Actuarial and Risk Functions in areas such as reporting, risk, reserving and pricing.

SPECIFIC JOB RESPONSIBILITIES:

Support the Enterprise Risk Management team in:

  • Production of regulatory reporting, including reporting to Lloyd’s, the UK regulator and to the Ascot Group regulator in Bermuda. Examples of such reporting include SCR calculation, PRA return, Standard Formula and BCAR.
  • Model development work to ensure that the internal model remains accurate and compliant with the tests and standards of Solvency II. Development work may require build of smaller test models as proof of concept for changes with a view to embedding within the internal model.
  • Following the established governance processes of the internal model, including application of model change policy and maintenance of model change log.
  • Production runs of the model for projects and use cases, as required by the business.
  • Data manipulation for use in the wider internal model including the model parameterisation processes, ensuring all data feeds to the internal model are accurate and auditable.
  • Maintaining control processes over model inputs, model runs and use of outputs.
  • Involvement in the annual parameterisation of the internal model across all risk areas.
  • Operation of the economic scenario generator to support internal model parameterisation.
  • Contribution to design of outputs from the model to support business decisions such as reinsurance purchasing, ranking of risk and return on capital calculations
  • The production and update of technical procedure documents relating the internal model and its processes.
  • Preparation of papers and analysis for committee meetings and external meetings with Lloyd’s and PRA.
  • Providing support in any audits of the internal model and its processes

Support to the wider Actuarial Function:

  • Involvement in technical actuarial activities including reserving and pricing support
  • Provide actuarial support for other Ascot offices, including Ascot Re and Ascot US.

Support the Risk Management Function in:

  • Risk oversight activities including risk review meetings, maintenance of risk register, adherence to Lloyd’s minimum standards and governance assurance work
  • Support in the production of quarterly and annual ORSA reporting.
  • Support in the regulatory / compliance projects in satisfying Lloyd’s, UK, US and Bermuda regulations
  • Involvement in the production of company policies and risk appetite statements across the Ascot Group and sub entities
  • Monitoring of emerging risks and provide analysis to the senior team
  • Involvement in the internal model validation process, including the design and execution of validation testing, production of validation testing schedules and production of documentation to support sensitivity, stress, scenario and reverse stress testing.

 

OTHER:

  • Attendance at relevant industry workshops and training for example annual ReMetrica conference
  • Liaising with other Ascot functions as necessary, such as Exposure Management, Underwriting and Reinsurance
  • Work closely with the IT department to ensure coordinated delivery of software development
  • Coordinate and contribute to adhoc projects to support the business

 

 SKILLS:

  • Microsoft Office skills, especially in Word, Excel and SharePoint
  • Strong organisational and project management skills
  • Proactive candidate that is able to prioritise and manage own workload
  • Excellent written and oral communication skills