125180

We are seeking an experienced and highly skilled Head of Capital and Risk Methodology to lead the team responsible for development and maintenance of the Group’s Swiss Solvency Test (SST) and Zurich Economic Capital (Z-ECM) internal models. The Capital & Risk Methodology team is responsible for various risk types (Credit risk, Expected Result, Risk Aggregation, Market Value Margin) and ensures the overall model consistency across risk types. The successful candidate will lead a team of senior and junior risk modelling specialists.

What you will do

• Model Development: Lead continuous enhancements of Credit risk, Risk Type Aggregation and post-aggregation models, ensuring they meet the internal requirements for Z-ECM model and FINMA regulations for Swiss Solvency Test (SST) model.
• Model Maintenance: Assure the model remains appropriate, by e.g. regularly testing the model, performing assessment of model simplifications etc. Assure the model documentation is up-to-date and compliant with internal model risk governance and FINMA requirements.
• Team Leadership: Manage and mentor a team of senior and junior risk modelling specialists, providing guidance, support, and professional development opportunities.
• Methodology Oversight: Ensure the overall model methodology is robust, up-to-date, and aligned with industry best practices and regulatory standards.
• Regulatory Compliance: Stay informed on FINMA requirements and ensure the SST model remains compliant with all regulatory standards.
• Regulatory Interactions: in case of major model changes, lead internal model change approval interactions with FINMA for models under your direct supervision. For other models, support respective Risk Type Model Owners.
• Projects: Drive forward or coordinate on projects related to quantitative and actuarial topics, or support other ad-hoc initiatives of strategic relevance
• Cross-functional Collaboration: Work closely with other teams within Group Risk Management and across Zurich Insurance to assure consistency across models.
• Documentation and Reporting: Maintain comprehensive documentation of the model development process, methodology, assumptions, and results.

• Master degree with a quantitative focus: Actuarial Science, (Financial) Mathematics, Quantitative Finance, or similar
• Ten years or more of experience in the areas of solvency or capital models (valuation side and/or risk), reserving or pricing, or similar
• Profound understanding of market-consistent framework for asset and liability valuation and risk modelling.

• Detailed knowledge of standards and regulatory requirements of the Swiss Solvency Test (SST) or Solvency II.
• Experience in managing and leading a team, is seen as beneficial
• Excellent documentation and communication skills, with the ability to precisely document and explain complex concepts to a variety of stakeholders and readers, adjusted to their needs.
• Ability to think strategically and align model development with broader business objectives.
• Being flexible and adaptable to changing regulatory environments and business needs.
• Strong team player with the ability to work collaboratively across functions and levels of the organization
• German language is an advantage