AVP, Model Risk (Actuarial Assets and Liabilities)

The AVP, Model Risk role is part of the Model Risk Management team and supports the Fortitude Re Model Risk Officer with second line risk management by providing hands-on technical support and practice guidance on all model risk-related activities. This may include assisting various members of risk management including the L&A Risk Officer, Investment Risk Officer, and other risk leaders. The position reports to the Vice President, Model Risk and Governance.

Candidates for this role will have the opportunity to be involved in the Fortitude Re’s growth and maturation of its model risk management framework, while also assisting in management of risks associated with implementation of models for large and diverse blocks of new business.

What You Will Do: 

This position is key to supporting a robust risk management framework at Fortitude, in line with industry best practices and expectations of regulatory and other stakeholders. It provides the opportunity to play an impactful role in the design, continuous refinement, and implementation of the model risk management function at a new and growing company. The nature of the role provides diverse opportunities for learning, growth, and expansion of responsibilities.

Responsibilities will include, but are not limited to, the following areas:

• Supporting the Fortitude Re ERM Model Risk Management function.

• Performing independent model reviews, testing and validation of models, including review of model documentation, evaluation of risks, and proposing review strategies and recommendations for enhancements to reduce the company’s risk profile.

  • Developing formal testing and validation plans in collaboration with first line modeling and UAT teams.

  • Performing, or participating in, independent model validations.

  • Developing validation reports.

  • Monitoring model issue remediation and periodic review of model simplifications and approximations.

• Ensuring model risk policies, standards, and procedures are continually being met to ensure compliance with both internal governance and regulatory requirements.

• Advocating for Model Risk across the organization and promoting strong model risk management practices.

• Advising first line teams, ERM team members, and management on regulatory compliance requirements and best practices with respect to effective model risk management.

• Providing periodic updates to the Model Governance Committee regarding model risk related matters.

• Developing model risk reporting and documentation to support audit or other outside reviews of model risk management activities.

What You Will Have: 

• Bachelor’s or advanced degree in Actuarial Science, Data Science, Mathematics, Financial Engineering, Economics, or another analytical field of study is required.

• Fellow of the Society of Actuaries (FSA), or Associate of the Society of Actuaries (ASA) with a minimum of 5 years of experience post-ASA, is required.

• Significant recent experience in actuarial model design, product development, implementation, testing and/or validation is required.

• Broad knowledge of life insurance, annuities, non-life insurance, and retirement products is a plus.

• Experience with various software packages commonly used in actuarial practice such as:

  • Microsoft Office (e.g. Excel, Word, and PowerPoint),

  • Actuarial modeling software (e.g. AXIS, ALFA, or Prophet, etc.), and

  • Programming / database languages (e.g. Python, C++, VBA, SQL, R, or SAS)

• Effective Communication Skills. Ability to effectively communicate through diverse verbal and written means. The ability to convey complex information to a variety of audiences, in a clear and easily concise way, is critical. Written communication will vary, including both analytical research memos and highly summarized reports or presentations for executive management.

• Strong Collaboration Skills. Collaborate effectively with others. Success requires a candidate that will independently seek out and engage others throughout the company to perform the duties of the role. It also requires one to seek to understand others’ points of view in developing their own views on business problems or risks.

• Insurance & Actuarial Knowledge. Strong foundation of technical knowledge pertaining to life insurance and/or annuity products, their inherent risks, and how they are modeled in practice. Understanding valuation principles and methods is critical. Thus, experience with US Statutory, US GAAP, Bermuda, and/or Solvency II valuation frameworks is important. However, the company will consider candidates with varied backgrounds inside or outside of risk management.

• Analytical Skills. Candidates should be inquisitive and active learners that seek to grow their understanding in all they do. The nature of this role involves evaluation of diverse, often complex or incomplete, financial information. Having the ability to independently analyze and draw insightful conclusions from such situations is critical to the role. The nature of this role may also require analytical research of technical and sometimes theoretical matters, where information is lacking, and expert judgment is required.

• Technology Skills. Actuaries frequently develop models using software tools to calculate actuarial values and/or to measure and price risks. In doing so, they also have to manage large volumes of data in order to perform such calculations and related analysis. Candidates for this role should have well-developed modeling skills with the ability to use / review work in current actuarial software platforms such as AXIS, MG ALFA, or comparable. In addition, candidates should have the ability to develop model testing solutions as needed in programming and/or database languages to perform analyses. Proficiency in one or more of the following is required: Python, VBA, SQL, C, or similar.  

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