Head of Market Risk Modelling, Swiss Solvency Test (SST) 80%-100%

We are seeking an experienced and highly skilled Head of Market Risk Modelling to lead the development and operational execution of our market risk model. This model is crucial for estimating the capital requirement for both market and credit default risk under the Swiss Solvency Test (SST). The successful candidate will oversee a small team of 2 to 3 direct reports and will be responsible for the overall methodology, ensuring the model remains up-to-date and compliant with FINMA requirements. Additionally, the role requires the ability to explain model results and conduct comprehensive analysis of changes.

What you will do

• Model Development and Maintenance: Lead the development, implementation, and maintenance of the market risk model, ensuring it meets the requirements of the Swiss Solvency Test (SST) and FINMA regulations.
• Team Leadership: Manage and mentor a team of 2 to 3 direct reports, providing guidance, support, and professional development opportunities.
• Methodology Oversight: Ensure the overall methodology of the market risk model is robust, up-to-date, and aligned with industry best practices and regulatory standards.
• Operational Runs: Oversee the regular operational runs of the market risk model, ensuring accuracy and reliability in the estimation of capital requirements.
• Regulatory Compliance: Stay informed on FINMA requirements and ensure the market risk model remains compliant with all regulatory standards.
• Results Explanation: Articulate and explain model results to senior management, stakeholders, and regulatory bodies, ensuring transparency and clarity.
• Analysis of Change: Conduct thorough analysis of changes in model outputs, identifying and explaining the drivers of these changes.
• Cross-functional Collaboration: Work closely with other teams within Group Risk Management and across Zurich Insurance to ensure integrated risk management processes.
• Documentation and Reporting: Maintain comprehensive documentation of the model development process, methodology, assumptions, and results. Prepare regular reports for internal and external stakeholders.
• Continuous Improvement: Identify opportunities for continuous improvement in the market risk model and its application, staying abreast of industry trends and advancements.

What you bring

• Education: Advanced degree (Master’s or Ph.D.) in Finance, Economics, Mathematics, Statistics, or a related field.
• Experience:
  • Minimum of 10 years of experience in market risk modelling, with a strong background in financial risk management.
  • Prior experience in a senior role within a financial institution, preferably within the insurance industry.
• Technical Skills:
  • Proficiency in risk modelling software and programming languages such as R, Python, or MATLAB (desirable).
  • Strong understanding of the Swiss Solvency Test (SST) and FINMA regulatory requirements (desirable).
• Leadership Skills: Experience in managing and leading a team is seen as beneficial.
• Analytical Skills: Excellent analytical and problem-solving skills, with the ability to conduct detailed analysis and interpret complex data.
• Communication Skills: Strong written and verbal communication skills, with the ability to explain complex concepts to non-technical stakeholders.
• Regulatory Knowledge: In-depth knowledge of regulatory requirements and standards related to market risk and capital adequacy, ideally in the Swiss regulatory context.

Personal Attributes:

• Detail-oriented: Meticulous attention to detail and a commitment to accuracy.
• Strategic Thinker: Ability to think strategically and align model development with broader business objectives.
• Adaptable: Flexible and adaptable to changing regulatory environments and business needs.
• Collaborative: Strong team player with the ability to work collaboratively across functions and levels of the organization.
• Proactive: Proactive approach to identifying and addressing potential issues before they become significant problems.

Additional information

We look forward to receiving your online application.

At our Quai Zurich Campus , our culture and our people are what set us apart. We thrive on face-to-face interactions that drive collaboration, nurture our unique culture, and amplify our success. Enjoy the best of both worlds with the flexibility to work up to two days remotely per week within Switzerland, allowing you to balance personal commitments while excelling in your career. Please discuss your flexibility needs with us during your interview.

• Location(s): CH – Zürich
• Remote working: Hybrid
• Schedule: Full Time
• Recruiter name: Grace Cunningham

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