Risk Analyst (m/f) - Focus Aggregation & Market Risk in Group Risk

Job description

JOB PURPOSE/ROLE

Group Risk is responsible for pre-emptive monitoring and reporting of the risk profile for defined Allianz entities across the segments Insurance, Banking and Asset Management. Adherence to the Groups’ governance principles is the overarching target.
Operating excellence of this framework plays a key role to comply with future Solvency II standards. The position of a risk analyst is focusing on the risk capital calculation and reporting within Group Risk IMR.

KEY RESPONSIBILITIES

Responsibility for development and validation of the Internal Model, specifically for validation tools (based on R) used for model validation and risk capital estimation around market risk, risk aggregation and market data. Focus on central market risk and aggregation engine based on Algorithmic software for internal and standard model risk capital calculations including model calibration and data processes

Provide subject matter expertise in all aspects of Allianz’s risk capital models

Managing correlation settings process and ensuring positive definiteness of the correlation matrix for real world scenario generation for the internal model risk capital calculation

Generation of real world scenarios for valuation and risk capital analysis

Development/refinement of aggregation framework for financial, insurance and credit risk type instruments

Methodological refinement of risk capital model approach

Continuously seeking improvements in data flow, informational value, and market practice benchmarks

Liaise with internal and external auditors, regulators and top management

KEY REQUIREMENTS/SKILLS/EXPERIENCE

Qualification

University degree in mathematics, physics, economics or alike with strong quantitative focus Actuarial exam, CFA qualification, PRM/FRM or equivalent is a plus

Fluent in Business English (written & spoken) is mandatory

Advanced knowledge of standard software (Excel, Access, Word incl. VBA)

Knowledge of risk-related systems and programming languages (Java, R, MatLab) is a requirement

Experience & Key Skills

Very good understanding of risk management concepts, quantitative risk methods and valuation models, notably market risk & asset liability interaction

Excellent understanding of insurance finance interaction is mandatory ##Experience with risk systems and risk reporting Solvency II and regulatory knowledge is a plus

3 - 5 years of working experience within an financial services environment, consulting firm or Risk Management Department

Structuring to a large extent own work / analysis and executing work plans efficiently

High level of commitment and interest to work in a dynamic and demanding environment

Ability to establish and maintain internal and external working relationships with colleagues from different functions and cultures

Reference Code

AZSE-4543849-3

Allianz is the home for those who dare – a supportive place where you can take the initiative to grow and to actively strengthen our global leadership position. By truly caring about people – both its 85 million private and corporate customers and more than 142,000 employees – Allianz fosters a culture where its employees are empowered to collaborate, perform, embrace trends and challenge the industry. Our main ambition is to be our customers’ trusted partner, instilling them with the confidence to grow. If you dare, join us at Allianz Group.

Allianz SE is the global headquarters of the Allianz Group. Our employees reflect the Group's geographic and functional diversity. Located in Munich, Allianz SE provides the perfect opportunity to start or continue with your international career.

Please submit your complete application documents (incl. CV, certificates, references and motivation letter)

We are looking forward to receiving your application on http://www.allianz.com/careers .

Allianz SE is committed to employment equity and therefore welcomes applications from men and women regardless race or ethnicity, age, nationality, religion, disability, sexual orientation or philosophy of life.