Risk Capital is responsible for producing, analyzing, reporting, and explaining quarterly internal model results for SCOR Group and SCOR’s subsidiaries. It further produces analytics on capital, ALM and economic performance on business initiatives for other risk departments as well senior and executive management decisions.
1. Your work, analysis, experience and expertise are pivotal for mitigating financial market risks to safeguard SCOR’s risk appetite.
2. Apply SCOR’s internal model to evaluate and perform duration and convexity analysis to measure sensitivity to interest rate changes, identify mismatches between assets and liabilities, stress test cash flow projection to anticipate liquidity needs.
3. Simulate various scenarios to assess the impact of changes in the economic environment, and provide recommendations based on potential stress scenarios.
4. Ensure adherence to financial regulations and solvency requirements.
5. Provide detailed risk reports for internal stakeholders and regulatory bodies.
6. Collaborate with Investment and Treasury about asset allocation and state of the art matching and hedging of cash flows and duration
7. Collaborate with the Financial Risk Market Risk team to manage risk appetite and risk limits.
8. Collaborate with the Risk Modelling team for continuous development of the internal model based on your daily usage experience
9. Qualified Actuary (SAV, DAV, IFoA) or equivalent qualification and experience
10. Practical experience in using Internal Models (SST, Solvency II or Basel) for Market and Credit Risk Analysis
11. 10 years of experience in Asset Liability Management, preferably in Life & Health insurance or Reinsurance,
12. Proficiency in MS Office and coding (preferred Python),
13. Experienced project leader in an agile, multinational, cross-functional environment
14. Excellent communication skills and fluent in English.
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