You will lead the development and implementation of specialist market risk models for the Market Risk Modelling process and lead, manage and train the Market Risk Modelling team, which acts as the hub of market risk experts, for LGR and Group, to produce market risk calibrations as input into the Solvency II Internal Model.

Purpose

Lead the development and implementation of specialist market risk models for the Market Risk Modelling process (Internal Model).

Lead, manage and train the Market Risk Modelling team, which acts as the hub of market risk experts, for LGR and Group, to produce market risk calibrations as input into the Solvency II Internal Model.

Oversee the MRM IMC responsibilities and be accountable for controls to maintain compliance with Group policies and regulatory requirements.

Principal accountabilities

Lead the consolidation of Market Risk Models for L&G, such that market risks (non-credit) are assessed, registered and managed accordingly. Ensure the Market Risk Models are robust, and the allocated capital is appropriate to L&G’s exposure and business plans. Owns the model change process for Market Risk Modelling. Ensure efficient and accurate operation of L&G’s Market Risk Models.

Lead the Market Risk Modelling team to respond to anticipated and unanticipated regulator feedback on the Market Risk Models. Ensure L&G receives the required attention and resources for matters relating to Market Risk Modelling. Lead model remediation plan as required by second-line/external audit/regulator.

Recommend and obtain buy-in for the required model changes to senior stakeholders to ensure Risk Calibrations in the Internal Model remain compliant and fit for purpose.

Manage the model development plan for Market Risk Modelling. Communicate the model development plan upwards and negotiate for resources if gap is identified.

The Internal Model Controller for L&G Market Risk Models. Ensure effective controls are in place and the operation of the models complies with Group policies and regulatory requirements. Ensure the Market Risk Models are adequately validated by the Solvency II Model Tests. Ensure Group Model Change policies are adhered to. Obtain approval from internal stakeholders and the regulator for Model Changes.

Ensure Group Expert Judgement Standards are met. Call Expert Judgement Panel meetings if required. Represent the Market Risk Modelling specialism in the panel meetings.

Provide expert advice to LGR, Group and other Business Units to ensure appropriate and sufficient usage of L&G’s Internal Model. Advice on matters relating to market risk capital, data, calibrations and projections.

Proactively maintain relationship with other departments in LGR, Group and other Business Units to ensure L&G’s Market Risk Models remain relevant to the business, and identify requirement for model development with senior stakeholders, for example the requirement for additional risk factors.

Develop new models to manage L&G’s new market risk exposures. Proactively engage with the business to understand and identify new and developing risks. Deploy, acquire and lead the required expert resources to design, implement and validate new market risk models.

Keep up to date with industry experts to ensure L&G’s market risk modelling approach remains in line with industry practice. Represent L&G in the field of Market Risk Modelling in professional conferences and organisations.

Technical knowledge

• Expert knowledge for market risk modelling theories and methods, including stochastic modelling techniques. Also require strong knowledge for credit risk modelling and understanding for non-market risks.
• Understanding of drivers of risk and regulation
• Capital modelling methodologies for the insurance industry, especially life insurance.
• The UK Life Industry products, especially annuities
• Typical assets held by insurers, including structured products and derivatives
• Knowledge and understanding of the financial services industry, the role of the PRA and FCA and any regulatory aspects affecting the life insurance industry.

Qualifications

• Typically the jobholder will be a qualified Actuary with specialist knowledge in market risk modelling and an experienced manager with experience of people management. Also the jobholder should be able to demonstrate actuarial competence in day-to-day work environment.

Specific experience and skills

• Extensive experience in market risk modelling, and its application to life insurer’s capital model
• Expert knowledge in market and credit risk modelling techniques is required.
• Ability to obtain buy-in from senior management to steer risk modelling and capital strategies and policies. Senior stakeholder influencing skills are essential.  
• Strong people management, communications and interpersonal skills. Ability to manage and develop technical expertise.
• Ability to manage and develop client/customer relationships and provide excellent customer service.
• The jobholder is required to have a succession plan and ensure the need for Market Risk Modelling expertise in L&G is met on a continual basis.
• Management experience is required.

Whatever your role, we reward ability, performance and attitude with a package that looks after all the things that are important to you. Our employees have a wide range of benefits including a generous pension scheme, life assurance, 30 days' holiday, private medical insurance, performance related bonuses, discounts at both a huge range of high street stores and our own great products, as well as a 12% car allowance scheme, your hard work will be rewarded when you join us.

For further information about the role, please contact Graham Stoddart, UK Resourcing Lead, at graham.stoddart@landg.com

Our view is that this role is suitable for agile working. This means we would consider a more flexible working arrangement, where your hours and work location are managed according to business, customer and personal needs. For this role, you would be based in London, but you could work in other Legal & General offices or at home, as necessary, provided this meets business needs. Details of agile working will be discussed during the interview process.