Director, Model Validation

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Background and purpose:

Group-wide Risk and Compliance function

The Group-wide Risk and Compliance function is a second line of defence oversight and control function which is responsible for overseeing the acceptance, ownership and management of financial and non-financial risks by the business units (“BU”). In addition adherence to the Group’s regulatory and internal compliance requirements are supported. The Group-wide Risk and Compliance function is led by the Group Chief Risk and Compliance Officer (“GCRCO”) in collaboration with the material subsidiary Chief Risk and Compliance Officers (“CRCO”) and local business unit (“LBU”) CRCO across the Group. The Group-wide Risk and Compliance function serves the business and the Group’s Board, Risk and Audit Committees by providing advice and insight to support effective oversight of the Group’s risks, compliance and security obligations.

Model Risk and Model Validation COE

The incumbent will join the Model Risk and Model Validation Center of Excellence team, which is tasked with the development and implementation of the Model Risk Policy, as well as providing independent assurance and validation of the accuracy and relevance of key models utilised across the Group.

This team also independently validates the internal capital model components used for the Group Internal Economic Capital Assessment (GIECA), ensuring compliance with the Groupwide Supervision (GWS) framework of the Hong Kong Insurance Authority (HKIA), thereby enabling the Board to discharge its responsibilities effectively.

The role holder is expected to establish and maintain significant interaction with a range of stakeholders, including Group Actuarial functions and Local Actuarial teams, Group-wide Internal Audit, other functions involved in actuarial model building and utilisation, and external stakeholders such as regulators and external auditors if required.

Principal responsibilities:

Actuarial model validation

• Oversee the critical model validation process which includes development of the terms of reference; the identification of scope and fact-finding activities; the development of findings, ensuring senior stakeholder support and finally the timely delivery of the validation.
• Supporting the validation of critical models identified and used for a variety of purposes, including valuation, capital reporting and new business pricing.
• Performing any additional ad-hoc analysis required by senior management to gain comfort with some aspects of model use decision making.
• Contributing to Deep Dive reviews related to critical models.

Model Validation Reporting

• Supporting and preparing model validation related papers for the Group Actuarial Technical Committee (“TAC”) and the Board/GRC.
• Providing opinions on material model changes in relation to critical models to provide assurance to the relevant governance committees, the Board/GRC.
• Producing the Group-wide model validation update report. Consolidating BU model validation reports into the Group validation report.

Actuarial Model Validation Framework and Process

• Contributing towards standardization agenda in terms of validation framework and process improvements

Team Management

• Managing a small team based in Kuala Lumpur responsible primarily for critical model validation for a number of Prudential business units. Ensure the team have clear objectives, achievable agenda and understand their contribution towards Prudential and our customers.

Skills, knowledge and experience required:

• Qualified actuary (at least 5 year PQE) with relevant level of experience and a life insurance or risk management background, including familiarity with current and emerging model platforms and risks that are relevant to the Group.
• Prior experience of actuarial model testing, validation or audit is preferable.
• Understanding of the components of an insurance revenue accounts, balance sheet, the risks to which insurers are exposed and how they are modelled.
• Good understanding of economic valuation techniques as well as capital calculations.
• Good understanding of the key features of life insurance products and the types of risks associated with them. An international perspective on products and market characteristics would be an advantage.
• An analytical mind-set with strong statistical/problem solving skills.
• Prior experience of people management is preferred.

Core competencies required:

• Strong documentation and verbal communication skills, both to technical and non-technical audiences.
• Strong stakeholder engagement and communication skills.
• Highly motivated and able to work independently at times.
• Ability to provide challenge while being commercially orientated and pragmatic.
• A team player and flexible to adapt to a fluid environment.
• Ability to communicate with confidence to stakeholders, both at the Group and Business Unit levels.

Prudential is an equal opportunity employer. We provide equality of opportunity of benefits for all who apply and who perform work for our organisation irrespective of sex, race, age, ethnic origin, educational, social and cultural background, marital status, pregnancy and maternity, religion or belief, disability or part-time / fixed-term work, or any other status protected by applicable law. We encourage the same standards from our recruitment and third-party suppliers taking into account the context of grade, job and location. We also allow for reasonable adjustments to support people with individual physical or mental health requirements.