Duration: 12 months.
Canada Life UK looks after the retirement, investment and protection needs of individuals, families and companies. We help to build better futures for our customers, our intermediaries and our employees by operating as a modern, agile and welcoming organisation.
Job Summary:
The ALM team is responsible for developing industry leading asset solutions for insurance balance sheet, covering Solvency II capital, rating, structuring, risk management and valuation.
This Credit Risk Lead role is a strategic position, responsible for ensuring the output from the modelling is embedded into the decision making of the company, ensure that front office traders are fully informed where to trade to manage our market risks.
The role holder will:
• Lead Solvency II Partial Internal Model ("PIM") for credit risk, including calibration, reporting and model use.
• Accountable for direct engagement with senior stakeholders in relation to all aspects of the PIM credit model
• Operate as the primary point of contact for regulatory engagement in relation to Credit risk PIM and proactively address queries and requests from the PRA.
• Feed into the risk management framework for credit risk, inclusive of setting risk limits and management actions, providing high-level strategic advice on ALM and risk mitigation to Asset Managers and the Investment Committee.
• Lead research on modelling credit risk modelling, reflecting economic and market trends and provide "House View".
• Accountable for Solvency II Partial Internal Model ("PIM") aggregation methodology.
• Drive updates to the credit risk and aggregation models to incorporate optimisation strategies and regulatory developments
• Lead the credit risk team, setting priorities, lead training, mentoring, coach and support team members

Responsibilities:
1. Define, set and lead the Credit modelling agenda and lead the development of credit models for capital calculation, valuation, and decision making. Use subject-matter expertise to actively explore capital optimization opportunities by enhancing efficiency and capabilities of the credit model.
Lead development and maintenance of Solvency II Partial Internal Model ("PIM") for credit risk
- Develop credit risk PIM methodology, assumptions and calibrations (both current and new asset classes).
- Design reporting process for credit risk SCR and business requirement for system implementation.
- Maintaining the credit risk PIM to ensure its methodology reflecting emerging market practice and regulatory expectation.
2. Lead the development and maintenance of Solvency II Partial Internal Model ("PIM") aggregation methodology for both CLL and CLG.
3. Operate as the Subject Matter Expert on credit risk and provide technical inputs to asset managers, pricing and ALM to support the management and mitigation of credit risks.
4. Prepare and present modelling proposals to various boards and committees. Using subject-matter expertise the role holder will engage, advise and influence senior internal stakeholders across our UK business, including the CFO, CRO, Chief Actuary. Produce and embed MI to help set the trading strategy to control and influence scope of credit risks.
5. Provide guidance, training and mentoring to a team of qualified, part-qualified actuaries or finance professionals in order to optimise the performance of the team in line with the Divisions objectives.

Experience Required:

Technical Expertise
• Demonstrable track record in credit risk management and modelling in the context of life insurance industry, particularly for annuity business.
• Familiar with techniques for credit risk modelling and experience with setting risk limits.
• Proven commercial awareness and understanding of the needs of the business. Ability to apply technical finance / quantitative techniques and understand business/commercial implications.
• Deep understanding of Solvency II regulations, Knowledge of IFRS17 accounting rules would be an advantage but not essential.
Communication
• Enhanced communication skills, demonstrating a clear and articulate standard of written and verbal communication in a complex environment, tailored for all levels of management.
• Proven track record of delivering presentation of modelling concept to C-suite stakeholders.
• Effective influencing skills and a demonstrable track record of engaging with Boards and senior management in order to achieve the desired outcome
Relationship Building
• The ability to develop and maintain relationships across wider business at all levels up to and including C-suite, acting with integrity and role modelling the company values at all times.
• Ability to achieve buy-in from wider business on key modelling agenda through demonstration of competency.
• Experience of working collaboratively with oversight function such as risk and audit to achieve positive results.
Taking Initiative
• Actively explore opportunity to improve the management of market risk within the organisation.
• Being delivery-focused, willing and capable of making decisions in order to progress issues, and able to exercise sound judgement and commercial sense to understand the importance of different issues and assess when matters need to be escalated.
• Able to effectively plan, organise the activities for the modelling team to advance business objectives and able to spot conflicting priorities early and readjust resource allocation accordingly.
• Ability to lead and drive modelling agenda and adapt for changing business needs and regulatory landscape.
Developing Self and Others
• Demonstrable track record of managing and motivating a team from a diverse range of professional backgrounds and with varying levels of experience
• Coaching ability in technical, and non-technical skills in order to support the development of others.