Omschrijving werkomgeving (afdeling/project)
NN Re is the reinsurance and hedging company of NN Group. NN Re offers intra-group reinsurance solutions to optimize the risk profile, capital consumption and P&L management of the insurance business units, NN Re and NN Group in total. NN Re operates the largest hedge book in NN Group to manage the VA risks reinsured from Japan and the European business units. NN Re is a dynamic organization with around 80 FTE’s, more than 25 different nationalities, working in The Hague. The hedge support activities are performed in NN Re in the Netherlands. Apart from hedge book, NN Re has also traditional Life, Non-Life books and financial reinsurance books, which makes a diversified and variant portfolio of NN Re. Given the Solvency II implementation, the overall capital optimization across NN Group using reinsurance engine becomes one of the main focuses of NN Re. NN Re manages very diverse risks from market risks to non-life, with a dedicated Risk Management team which is able to effectively identify and manage risks within the organization. Currently NN Re is developing a basis risk and hedge effectiveness model for a VA portfolio.
The consultant is responsible for developing a risk model for basis risk and hedge effectiveness parameter calculation. Responsibilities: 1. Gather the data for the modelling; 2. Develop or adopt a current existing model for the SCR calculations; 3. Perform the sensitivity and the backtesting of the model; 4. Prepare the Technical Model Documentation for the model.
Specifieke kennis en vereisten
Strong the risk modelling background • Proficient in excel and R
Reactie is prive en alleen zichtbaar voor de opdrachtgever en de plaatser van de reactie.
Je moet inloggen voordat je een reactie kunt plaatsen.