Senior Market Risk and Economic Assumption expert 80-100%

Are you interested in gaining detailed first-hand insights into advanced financial models and their implementation for market risk internal model and market consistent valuations from a truly global perspective?

If yes, this might be the right opportunity for you!

As a key member of the Life Economic Models and Capital team in Group Actuarial, you will contribute to the production, maintenance and development of liability proxy models for Zurich’s internal model for market risk and for market consistent economic assumptions for IFRS17, Solvency II and Swiss Solvency Test for the whole Zurich Group and business units worldwide.

What you will do

• Support Replicating Portfolio methodology, developments and governance for Market Risk Capital calculations.
• Produce impact assessments, analyses, tools and reports on financial and market risk-related topics.
• Support Replicating Portfolio production processes.
• Investigate alternative proxy modeling techniques and calibration approaches (e.g. machine learning).
• Support ongoing effort toward increased automation and digitalization via development of established tools (e.g. python) and/or exploring new techniques (e.g. LLM).
• Support overall team’s deliverables in respect of Replicating Portfolio and economic assumptions.
• Support regulatory approval and interaction for Zurich’s internal model.
• Provide comprehensive subject matter expertise to internal and external stakeholders. 
  
  

What you bring

• Master in quantitative finance, mathematics, physics or related subjects (e.g. data science, etc.).
• Postgraduate degree or additional professional qualifications is a plus (e.g. Actuarial, CERA, FRM, etc.).
• 5+ years of relevant experience working in Replicating Portfolios, proxy modelling techniques (e.g. LSMC, Neural Network, Trees), economic capital modelling and/or other related field (e.g. machine learning).
• Sound knowledge of life insurance business and risk capital management theory and practice.
• Ability to execute BAU tasks and to investigate innovative solutions with a problem-solving and solution-oriented attitude.
• Practical experience with Python or other similar programming language (e.g. R).
• Experience in working with Cloud using modern DevOps tools is an advantage (e.g. git, Copilot, Azure DevOps, CI/CD pipeline, etc.), as well as a strong capability of investigating new IT solutions to better meet business needs.
• Fluent English and strong communication skills, both written and oral.
• Analytical mind-set, detail-oriented, with a strong commitment to quality and deadline.
• Highly cooperative, flexible, and enthusiastic team-player.
  
  

Additional Information

We look forward to receiving your online application. 

At our Quay 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.

Information for recruitment agencies

Zurich does not accept any applications from recruitment agencies for this position. We refuse any responsibility for unsolicited applications as well as any associated fees. 

Why Zurich

At Zurich, we like to think outside the box and challenge the status quo. We take an optimistic approach by focusing on the positives and constantly asking What can go right? 

We are an equal opportunity employer who knows that each employee is unique - that’s what makes our team so great! 
Join us as we constantly explore new ways to protect our customers and the planet.
 

• Location(s):  CH - Zürich 
• Remote working: Hybrid
• Schedule: Full Time
• Recruiter name: Mélina Carnal