Model Risk Management Analyst Senior | Hybrid

At Allianz Life, we are driven by our mission – we secure your future – and by our common goal of caring for tomorrow. We care for our employees by promoting an inclusive culture where everyone has the opportunity to grow and be rewarded for their success. We care for our customers by creating new products that help them protect their families and pursue their retirement goals. We care for our community by giving time, resources, and donations. And we care for the future by supporting sustainability, protecting the local environment, and promoting societal equity.

 

Within the Corporate Risk Management Department, the Model Risk Management Senior Analyst validates financial models in relation with Allianz Investment Management (AIM) hedging activities. Operating with a high degree of independence, the Model Risk Management Senior Analyst develops, coordinates, and executes model validation plan activities. You ensure appropriate adherence to model governance, tracks progress to plans, and addresses changes to ensure best practices. You will report to the Senior Director of Model Risk Management.

 

What you do:

Model Validation:

• Perform validation of hedging and financial models as an independent reviewer, whether for new models, model changes or as part of ad-hoc validations:

  • Review inputs, assumptions and expert judgements

  • Review the methodology and assess its mathematical or financial relevance

  • Review the code and ensure that it is aligned with the methodology

  • Review the documentation to ensure it is understandable

  • Review outputs and controls

  • Perform validation tests (back-testings, sensitivities to inputs and assumptions, code changes).

• Understand the modeling process including inputs, outputs and assumptions.

• Identify potential issues from validations, raise findings and align with model owners and Chief Risk Officer on remediation’s schedules based on materiality.

• Track remediation plan items and work with model owners to ensure identified items are being addressed in due time.

• Ensure the consistency (when expected) of the modeling approaches on the different perimeters of the company and share the best practices identified during the validations with model owners.

• Work with junior analysts and support them when needed.

 

Throughout the validation process, emphasis will be placed on the methodological relevance of modeling choices.

 

Model Governance:

• Maintain models findings list and track remediation status.

• Work with model owners to understand the model changes being considered and assess if model changes will affect the validation status/plan.

 

Maintain models inventory, track any relevant status (including re-validation status, materiality and criticality) and ensure all activities are documented in relation with Allianz Life governance framework.

 

What you bring:

Minimum:

• 4-7 years of experience required.

• Previous experience building financial models in the context of insurance or investment banking

• Knowledge of financial derivatives and derivatives pricing theory

• Knowledge of financial modeling (theory and practice):

  • Monte Carlo methods

  • Stochastic Calculus

  • Financial Models calibration and Projection

• Understand very complex mathematical concepts embedded in options pricing theory and to explain them to a non-technical audience

• Code in one of the following languages: C, C++, C# or Python with a preference for C#

• Four year degree: Bachelor’s degree in Mathematics, Statistics, or related technical field

 

Preferred:

• Advanced degree: Master or PhD in Mathematics, Quantitative finance, Statistics or any related field.

• Master or PhD in physics with a previous experience in finance or insurance will also be considered

 

What we offer:

At Allianz Life, we’re proud to provide a benefits package that supports the True Balance of our employees and their families. We offer: a choice of comprehensive medical, dental and vision plan options, flexible spending and health savings accounts, tuition reimbursement, student loan retirement program, generous annual paid leave, an outstanding 401(k) company match, and life insurance. Plus, our employees enjoy an award-winning campus with an array of discounted amenities, including an onsite health center, child development center, fitness facility, convenience store and two cafeterias. Our employees and leade