Market Capital Manager or Actuary  City, London, United Kingdom,

 

Role purpose

The purpose of this role is to contribute to the market capital modelling responsibilities for the Capital Management Team.

How this role fits into the business

Market risk capital represents a material part of PIC's balance sheet and so is a key driver of policyholder security and the economics of the business.

This role sits within the Capital Management Team under the CFO within the "first line" albeit working closely with the Risk Team. The purpose of the Capital Management Team is to oversee, maintain and develop the regulatory capital framework and models and ensure that these remain optimised and appropriate to the PIC business and risk profile and that required management information and analysis is provided to the business in an accurate and timely manner.

PIC is a leader in a vibrant, growing sector of the insurance market, having grown rapidly to a significant size whilst maintining its nimbleness and dynamism. The Capital Management Team is a recent evolution to support PIC's continued growth and success, intended to enhance PIC's capital framework and become a centre of excellence.

Key responsibilities

Capital Framework

  • Contribute to and recommend enhancements and optimisations to the PIC regulatory capital strategy and framework, with particular focus and specialisation on the market risk aspects, ensuring that such recommendations are thoroughly analysed and presented.

Market Capital

  • To ensure that the Market Risk approach, design, methodology, models, operation and results remain robust and appropriate for use in the PIC business and are consistent with the PRA approval of the PIC Internal Model framework and its policies.
  • To ensure that the market risk framework for calculating and assessing the SCR is properly managed, including calculation, documentation and regular review. This also covers having in place effective working relationships with the Risk, ALM and Finance Actuarial teams in particular, as well as the wider business.
  • To ensure that the market risk calibrations and approaches are validated, remain appropriate and are suitable for use in the business.
  • To manage the ongoing operation of and enhancements to the asset and market risk modelling platform, including implementation of new models, documentation, testing, managing data flow, and ensuring that robust processes and controls are applied to all aspects of the system.
  • Maintain a strong network and awareness of developments in academic thought, insurance regulation, competitor approaches and insights from other related industries.
  • Generate thought leadership and optimisation. Investigate new structures and solutions in concert with Strategy and ALM departments.
  • Ensure that all model design and development is conducted in compliance with prevailing policies and standards, e.g. EUC Policy.
  • Work closely with the Model Risk and Validation Team in risk to ensure models, including the Internal Model remain appropriate and comply with policies and framework.

Credit

  • The most material contributor to the Market Capital at PIC is the Credit risk arising from PIC's large and diverse global corporate bond portfolio. This is a combination of risk related to spread changes, rating changes and default risk, allowing for the offsetting impact of changes in the liability discount rate. The model models these risk sources for both liquid and illiquid instruments, allowing for liability interaction and future management actions. Illiquid instruments include Equity Release Mortgages, Property and bilateral debt.

Analysis and Reporting

  • To ensure the delivery of management information on the design, assumptions and performance of the model and its components
  • To manage the delivery of ad-hoc quantitative analyses and investigations.

Person specification

Knowledge, experience, skills and abilities (technical competencies)

Essential:

  • Exceptional quantitative and analytical experience, including specialisation in statistics, optimisation techniques and financial economics: ability to advocate and justify in detail the use of one modelling approach over another under challenge from internal and external experts
  • Good stakeholder management skills with a proven ability to communicate and work effectively with senior roles
  • Advanced Excel skills
  • Familiarity with the programming languages "Matlab" or "R"
  • Experience of co-ordinating and delivering projects
  • Excellent written and verbal communication skills, especially in technical matters

Desirable:

  • Fellow of the Institute and Faculty of Actuaries or other relevant qualification such as Certified Financial Analyst
  • Commercial awareness of the marketplace in which PIC operates with a particular emphasis on the UK Bulk Annuity market
  • Familiarity with Solvency II regulation and experience of dealing with the PRA
  • Knowledge and experience of Murex and RAFM (MoSes) platforms
  • Familiarity with Data Science

Core capabilities

This section highlights the behaviours from our capability framework that are top priority for this role. This does not mean that the others are not relevant, rather that those in bold are the behaviours that are most critical to success. Performance against these essential behaviours will be assessed both in selection and the performance appraisal process.

Benefits:

  • 28 days annual leave
  • Life Assurance (4x base salary)
  • Private Medical insurance for employees and their eligible dependents.
  • Travel Insurance
  • Childcare vouchers
  • Season ticket loan
  • Company doctor programme
  • Discretionary bonus scheme
  • Employee Assistance Programme (EAP).
  • Save as You Earn (SAYE) - gives PIC employees opportunity to acquire ordinary shares at the company at a fixed price
  • Give as You Earn Scheme (GAYE) - Enables employees to make donation to any registered charity in the UK
To apply by email to this position, please send your CV and covering letter to the following link:

Please quote reference number JobG8 -6698-627733951-TITC