Requirements: English
Company: AXA
Region: Madrid , Community of Madrid
GIE AXA SUCURSAL EN ESPAA is a branch of GIE AXA (Group headquarters) located in Spain. The entity is hosted in AXA''s facilities in Madrid, but is fully independent from other Spanish entities. The Internal Model Review (IMR) department, the biggest department of the branch, reports directly to Group Risk Management (GRM) and PBRC in Paris.
The Internal Model Review (IMR) team is an internal Risk and Actuarial controlling activity created in the context of Solvency II application. It has the following objectives:
- Provide a gap analysis on the compliance of local entities practices with Group instructions and/or with Solvency II directives.
- Provide AXA Groups management with an appropriate level of comfort on the quality and adequacy of solvency II metrics reported by entities.
- Ensure the consistency of local methodologies, processes and tools used across entities.
- Contribute to the improvement of the metrics by sharing best practices.
The team is structured in five main areas:
- Assets & ALM standards, Market & Credit Risks,
- Liabilities standards, Best Estimates and Life Risks,
- P&C risks,
- Operational Risks.
- IFRS17.
The scope of the activities of the team has been extended to the review of the Group models.
The open position is within the P&C Risks standards team.
The candidate will be responsible for participating within the P&C team to the review of P&C risks measurement performed by entities with the objective of delivering conclusive reports with relevant and documented observations and a list of recommendations when need be.
The outputs of the review will be summarized in a conclusive report, including findings and prioritized recommendations to be delivered to the management (local and Group CFOs and CROs), auditors and regulators.
In terms of scope and responsibilities, the IMR work plan is designed to cover all entities / all risks at least every 3 to 5 years.
Short-term business travels in entities (on-sites reviews) are part of the mission.
The main missions consist on:
- Conducting the review (e.g. animation of the discussions during the on-sites)
- Performing quantitative and qualitative tests and controls building a parallel model.
- Ensuring consistency of local practices versus Solvency 2 directives and Groups guidelines
- Delivering a narrative report summarizing the conclusions of all work streams
- Doing the follow-up of previous recommendations
The tasks included in the position are the following:
P&C risks:
- Review the local deployment of P&C Group model structure (Harp + Remetrica)
- Review the local calibration of the model.
- Check the exhaustiveness of modeled business.
- Review the reconciliation exercise.
- Statistical quality tests, calibration tests, ensuring that the fitted parameters represent the risk reflected in the historical data, taking into account trends and outliers, (statistical tests and back testing of result distributions, review evidence of fit tests) for parameterization of losses, pricing, inflation, and reserve volatilities.
- Back testing, stress testing, mirror modeling to sense check IM outputs
- Conclusion on a suitability assessment of the P&C Group model to local specificities in a written report to be completed by action plan from the entity.
- Review of the local Cat modeling, including challenge the data used, the Cat projection factor and the robustness of approach.
- Review local reinsurance treaties in order to check the appropriateness and exhaustiveness of the modeling.
- Review the granularity of the modeled lines of business.
- Express a second opinion on Group model changes that impact P&C risks.
Solvency II balance sheet and EOF:
- Scope of business covered by the internal model
- P&C Best Estimate Liabilities adjustments
- Risk margin calculation
- Other SII BS adjustments
PROFILE:
Education:
- Educated with a Master Degree
- Financial Mathematics, Statistics and/or actuarial studies.
Experience:
- 3-4 years practical experience in the P&C area of a Risk Management or Technical departments, or in an actuarial audit firm.
Good knowledge of:
- Solvency 2 principles, notably P&C risks modules
- P&C reserving technics and P&C business analysis
- Programming (Coding)
- IFRS17
- AXAs internal model (STEC) (valuable);
Tools: