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Actuary
AXA Advisors
Jersey City, NJ, United States
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AXA Equitable recently went through an IPO and became a publicly listed company. As part of the IPO process, senior management identified substantial additional investments to make within the Actuarial and Risk organizations. Model Risk Management is one such growth area identified within the Risk team, in particular related to Model Validation. This position offers a unique opportunity to shape a growing team and institute best practices at a company experiencing rapid and positive change.
The Actuary - Model Validation will be a member of the Model Risk Management team that oversees management of the risk inherent in models (e.g. Actuarial, financial) used throughout the company. This individual will be part of a team performing Model Validations on existing and new models. Opportunities include:
• Help establish a dynamic new team and function following the IPO
• Exposure to Chief Risk Officer (CRO) and other leaders within Risk Management, Actuarial, and Finance
• Positively impact decision making by securing the models used for financial reporting, risk measurement, pricing, and strategic business decisions
• Deepen understanding of the products, assumptions, models, and processes across different areas (Life Insurance/Annuity/Health, Inforce/New Business)
• Enhance modeling and risk management skills
• Be part of a growing industry-wide actuarial and risk practice area
Responsibilities include:
• Perform Model Validations according to the Model Validation Framework, primarily as a tester. Note the framework includes separate tester and reviewer activities, and covers inputs, calculations (including development of benchmarking spreadsheets for higher risk models), outputs, documentation, conceptual soundness, static/dynamic validations, hand-offs between models, production confirmation, etc. Model scope includes:
• Existing US GAAP models, following the 3-year recurring schedule (e.g. projection systems like GGY AXIS, valuation spreadsheets, inforce creation/compression, economic scenario generators)
• New models according to the new implementation governance framework
• Potential expansion to US Statutory models
• Other targeted models (e.g. VA/GMxB Hedging) as needed
• Produce model validation test plans, analysis support files, and reports
• Perform peer review activities as needed (e.g. for other testers on the team)
• Develop and maintain model benchmarking tools (e.g. spreadsheets with parallel calculations)
• Escalate any potential findings to team management
• Support Sarbanes-Oxley (SOX) processes around Model Validation
• Perform detailed reviews of any 3rd party model validation work and document the review, as needed
• Support updates to management and the Model Governance Committee
• Work closely and foster constructive relationships with the modeling teams and other input providers (e.g. product areas). Liaise with management, external auditors, internal audit, SOX teams, and the Model Governance Committee as needed.
• Maintain a repository of validation artifacts
• Help expand validation procedures beyond main liability projection models and spreadsheets as needed (e.g. Asset Valuation, Pricing)
QUALIFICATIONS:
• ASA or FSA with at least 4 years of actuarial experience
• Experience performing Model Validations through audit, consulting, or internal team is a big plus
• Experience with liability modeling and actuarial projection systems (GGY-AXIS is preferred)
• Software skills including MS Office
• Experience with Variable Annuities with enhanced Guarantees (GMxB’s) and/or Universal/Variable/Indexed Life Insurance is a plus
• Must possess strong accountability, high quality of work ethic, strong organizational skills, strong interpersonal & communication skills, and be a good self-starter