Risk Modeller

Allianz

  • Bruxelles
  • CDI
  • Temps-plein
  • Il y a 1 mois
Allianz Trade is looking for his/her Risk Modeller.As a Risk Modeller, your main mission is to coordinate the methodological discussions on the internal model parameter calibration, review the calibration process and results before feeding the SCR calculationKey Responsibilities / What you do
  • Coordinate quarterly local PAACs within the defined scope, prepare and present the results to the Group PAAC
  • Follow up the data quality within the defined scope
  • Perform monthly, quarterly and yearly reporting on the expected loss, risk capital and data quality
  • Participate in the internal model development projects and the projects led by other departments throughout the company related to the internal model (Compass, Atlas etc)
  • Further improve/optimize the internal processes
  • Integrate the non-modelled entities into the internal model scope
  • Design and implement the Parameters and Assumption Approval Committee (PAAC governance, process and tools) for the S&G line of business
  • Participate in the new internal model developments
Key Requirements / What you bring
  • Master in Risk Management, Statistics, Quantitative Finance, Data Science or Mathematics
  • Experience in the banking industry in the development, review or audit of the credit risk models, experience as a credit analyst
  • Coding skills in SAS; R and/or Python is a strong asset
  • Strong understanding of Solvency 2 framework, understanding of best practice model governance requirements an asset
  • Well organized and efficient, Strong analytical mindset
  • Detailed and result oriented, Team player
  • Ability to work on several tasks/projects at the same time and to explain complex topics in a simple way
  • Easy to communicate with
Allianz Group is one of the most trusted insurance and asset management companies in the world. Caring for our employees, their ambitions, dreams and challenges, is what makes us a unique employer. Together we can build an environment where everyone feels empowered and has the confidence to explore, to grow and to shape a better future for our customers and the world around us.
We at Allianz believe in a diverse and inclusive workforce and are proud to be an equal opportunity employer. We encourage you to bring your whole self to work, no matter where you are from, what you look like, who you love or what you believe in.
We therefore welcome applications regardless of ethnicity or cultural background, age, gender, nationality, religion, disability or sexual orientation.
Join us. Let's care for tomorrow.

Allianz