Group Head of Credit Risk

Date Posted: 18/10/2023

Location: London

Job Type: Full time

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Purpose

To lead the development and ongoing management of the Solvency UK matching adjustment attestation process, and proactively manage the credit risk on the Group’s balance sheet

Job Role Accountabilities

• Lead successful development of methodology to support the matching adjustment attestation process under Solvency UK as per required regulatory timetable
• Support development of methodology for incorporation of assets with non-fixed cashflows in Matching Adjustment portfolio
• Operate Identify, Measure, Manage, Monitor and Reporting risk framework for JRL for credit risk with peers in the Investment and Capital Management
• Proposal of assumptions for downgrade and default losses for IFRS and for measuring best estimate returns for return on capital measures
• Support PRA relationship in respect of associated topics

Examples of Key Activities

• Attendee at ALCO, Credit Committee, and Matching Adjustment Committee – and ad-hoc attendee at GRCC/Investment Committee when appropriate
• Represent Just Group externally on topics associated with role e.g.  Association of British Insurers working groups
• Development of key Solvency UK reform deliverables for credit risk
• Development of risk identification for illiquid assets, to support internal model development
• Liaising with all key contacts within Just to represent the Credit Risk function in carrying out the role accountabilities and ensuring good communications on all relevant points of interaction.

Experience

• Strong understanding of Solvency II framework, particularly the Solvency UK Matching Adjustment reforms
• Strong understanding of the range of illiquid asset classes typically held by UK annuity writers and the associated risks
• Excellent analytical skills
• Good understanding of the products/services provided by the Group, their risks and their capital requirements
• Ability to maintain competence and up to date knowledge
• Ability to lead and influence others, and to build collaborative relationships with a range of stakeholders across the business
• Life industry experience in a Solvency II environment
• Risk identification for range of credit assets.  E.g. one or more of credit rating frameworks; development of expected loss measures for IFRS or economic value reporting; internal model development
• Experience in managing technical teams and delivery of projects

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