Senior Quantitative Risk Manager (Incl Validation)

Description of role purpose

This role will work closely with the Risk & Compliance Director (SMF4-holder) to manage and continually develop the risk management framework for Polo Managing Agency and syndicates under its management, playing a leading role in most of the more quantitative aspects of risk management.

The role will primarily support PMA with the potential for activity at a Group level working with the Group Chief Risk Officer. PMA is fully supportive of internal career progression.

As a newly created role, the holder will lead and have the scope to develop quantitative risk management. This will cover production of the ORSAs, oversight of the internal models, management of underwriting, reserving, financial, and market risks. As PMA continues its growth strategy independent assessment of new syndicate opportunities will be required.

PMA will operate internal models for 2 syndicates, The role holder will lead the delivery of the independent validation of these internal models. The role holder will be able to understand and challenge the technical aspects of the internal model and the management of risk and communicate key issues.

Key Responsibilities

Contribute to the delivery of quarterly and annual ORSA processes, including the production of relevant reports, in particular focused on the quantitative aspects including underwriting, reserving, financial, and market risks.

Contribute to the development of PMA’s Risk Management Framework and ensure this continues to reflect market best practice.

Contribute to the due diligence and onboarding of new syndicates to PMA - Including a 2nd line view of underwriting and reserving risks.

Stress and Scenario Testing

• Performing scenario analysis, including reverse stress testing
• Using outputs to validate and challenge the results of the internal model.
• Using the outputs from the process to support risk management processes, including ORSA

To provide input into the development and enhancement of each syndicate’s risk appetite framework, including development, implementation, monitoring and reporting of risk tolerance metrics and thresholds

Independent Model Validation

• Providing effective challenge to quantitative and qualitative aspects of the Internal Model, including:

           - Model design;

           - Methodology;

           - Parameterisation and Model Results;

           - Governance; and

           - Documentation

• Coordinating, planning and delivery of validation activities in collaboration with first line teams

Perform ad hoc risk analysis, including independent risk assessments as per the annual risk management plan.

Provide risk management support and expertise as well as second line risk oversight and challenge to PMA’s portfolio of projects, ensuring that key projects risks are identified, assessed, and mitigated appropriately.

Maintain and enhance the emerging risks register and framework.

Review and update risk management policies in line with governance requirements

Experience and Skills

Qualified or part qualified actuary.

Considerable years’ experience of London Market risk management roles; Lloyd’s managing agency experience would be particularly advantageous.

Experience of capital modelling, ideally taking a leading role on validation,

Strong competence in Internal Modelling applications

Experience in Tyche would be advantageous as well as Microsoft Office applications.

Experience of risk management reporting including contributing to the ORSA. A good understanding of Lloyd’s and Regulatory reporting including Syndicate Business Forecast, QMA and QMB

Strong interpersonal skills and the ability to build relationships and communicate with individuals at all levels, including senior management.

Excellent attention to detail, highly numerate, literate and analytical, with the ability to convey risk management information in a way that is meaningful to the end users.

Team player with the ability to work independently on own initiative and to tight deadlines.

Experience of using risk management software would be advantageous.

Demonstrates behaviours aligned to the Polo Works PRIDE values:

• Pioneering – we don’t stand still
• Responsible – We do the right thing
• Inclusive – we all play a role
• Delivery Focused- we provide services we are proud of
• Empowering – we equip people to be their best

Location: Hybrid, at least 40% London office