Director, Market Risk Model Developer

Job Description

We are seeking a skilled Market Risk Model Developer to support the insurance CIO Function to measure, analyze and report market risk. The ideal candidate will develop and maintain a robust risk framework and practice through modeling to provide actionable insights into investment portfolios, risk exposures, regulatory metrics, and performance reporting. This role is essential for enabling data‑driven decision making by portfolio managers, actuaries, and senior leaders.

Responsibilities

• Lead the creation and implementation of key risk metrics (PV01, CS01, Inflation 01, XCCY01) across all asset classes to provide clear visibility into market exposures.
• Integrate market risk measures and reporting into the Enterprise Risk Management framework, including stress scenario analysis, to ensure cohesive risk oversight.
• Validate daily PnL reporting by linking it to risk metrics and cash flows, demonstrating how market r...