ALM Models / Financial Risks Validation Analyst – Internal Model Review at AXA

Madrid, Madrid Community, Spain -

Full Time

Start Date

Immediate

Expiry Date

13 Apr, 26

Salary

0.0

Posted On

13 Jan, 26

Experience

2 year(s) or above

Remote Job

Yes

Telecommute

Yes

Sponsor Visa

Skills

Financial Mathematics, Actuarial Studies, Risk Management, Financial Risks, Solvency 2, ALM Projections, Market Risks, Credit Risks, Capital Risk Model, DFA Tools, VBA, C++, Python, R, Data Manipulation, Risk Analysis

Industry

Insurance

Description

YOUR WORK ENVIRONMENT Why AXA? Every day, we work together for human progress by protecting what matters. A mission that puts a smile on your face and makes you want to get up in the morning! One of the world's leading insurers in the protection of property, people and assets, AXA is 145,000 employees and contributors who are committed to our customers on a daily basis, 51 countries in which we distribute our products and services and more than 90 million customers who place their trust in us worldwide. As a responsible corporate citizen, AXA is committed to social and environmental causes on a daily basis. We are committed to an inclusive policy that recognizes and values individual differences. Do these ambitions speak to you? Then come and change the world with us! Building on the international culture and shared values of the AXA Group, the headquarters (GIE AXA) brings together our core corporate activities. By joining GIE AXA, you become part of a strategic entity within the Group, directly contributing to the success of our global initiatives. Located in the heart of Paris in the 8th arrondissement, the headquarters provides guidance and support to subsidiaries worldwide, ensuring the coordination and monitoring of the Group’s strategy, standards, and commercial approaches, as well as the sharing of best practices. With approximately 1,200 employees and a diverse international culture (45 nationalities), it offers a rich and stimulating environment to work in. WHY JOIN US? Because We Are: A responsible organization committed to the well-being of people—employees and customers alike—and to safeguarding our planet. A company built on strong, shared values. A forward-thinking organization that promotes internal mobility and invests in employee development through ongoing training. A rewarding workplace offering numerous benefits (learn more here:Reward & Benefits | AXA Group). A flexible work environment, supporting hybrid arrangements that combine in-office and remote work. In line with our commitments, we celebrate each new hire by taking action for global reforestation: we plant a tree for every recruitment. So, are you ready to apply? Your Mission: As part of IMR team, the candidate will participate in in-depth reviews of the Internal Model among AXA entities. The candidate will be responsible for performing detailed analysis on the Internal Model, focusing on assets and ALM projected cash flows in Life products. The candidate will also participate in the analysis of Market, Credit and Aggregation risks, ensuring the alignment between the local practices and the Group requirements. Recently, the scope of the activities of the team has been extended to the review of the Group models. Key accountabilities: • Analysis of the Assets and ALM projection in the DFA (Dynamic Financial Analysis) model for Life business. Focusing on: o Assets projection: Assets model points; Simulations on Risk Neutral environment (Market value evolution, Market consistency adjustment); Projection of different components of investment income; Investment fees. o Detailed analysis of the implementation in the Internal Model of the main ALM strategy components: Investment Strategy and Strategic Assets Allocation; Profit sharing; Management actions; Time Value Options analysis. • Reviewing Market and Credit risk Capital models for Life and P&C businesses as well as the Aggregation methodology for the different sub-risk streams. Analysis of scope and local calibrations produced by the entities. • Conduct technical discussions with the local entities. • Implement a regular update of the team methodology, suggesting improvements and designing new tests. • Participation on regular follow-ups with the reviewed entities. • Contribute to Group Risk Management transversal work streams. Qualifications: Education: • Grade in Financial Mathematics/Engineering, statistics and/or Actuarial Studies • Language: English advanced (Proficiency or similar) Experience: • Desirable 3- 5 years’ experience in related positions. Ideally with an actuarial background, or a past in a risk management department or actuarial valuation team/audit function. • Good knowledge of financial risks risk model principles • Good knowledge of Life insurance business with a focus on: o Solvency 2 principles. o Assets/ALM projections and Market & Credit risks valuation o Risks identification and measurement frameworks. o Capital Risk Model i.e. Internal model (Valuable). • Ideally have exposure to internal models in insurance entities, notably on DFA tools (e.g. RAFM, Prophet, R3S, Sunrise, etc) including: o Risk neutral / Real world Scenarios. o Insurance accounting and other regulatory environments. o Eligible Own Funds (EOF) framework. o Model Valuation of various asset classes (e.g. securities, corporate bonds, derivatives, alternative assets) • Experience with the use of VBA valuation tools, and familiarity with programming in languages like C++, Python or R for data manipulation, and risk analysis. (Valuable)

Responsibilities

The candidate will participate in in-depth reviews of the Internal Model among AXA entities, focusing on assets and ALM projected cash flows in Life products. They will also analyze Market, Credit, and Aggregation risks to ensure alignment with Group requirements.