The mission of Enterprise Risk Management (ERM) is to ensure that Prudential has a comprehensive framework for understanding the risks embedded in and across its businesses, so that the company can manage these risks effectively, evaluate current and future risk challenges and opportunities, and enhance shareholder value.
The Company recognizes that the comprehensive risk management framework requires strong model risk oversight and model risk management, and recently formed a new Model Risk Management organization that includes three teams: (1) Actuarial Model Risk Management, (2) Investment, Finance and Risk Model Risk Management, and (3) Model Risk Control Office. The primary objectives of this Model Risk Management organization are to provide effective challenge, manage and mitigate model risks, and maintain model inventory, risk assessment and model control standards.
This position will be part of the new Actuarial Model Risk Management team responsible for ensuring that Prudential is capable of accurately identifying, measuring, reporting, monitoring and managing the Company’s model risks. This will include independent model validation and testing of actuarial models. This position may also encompass monitoring model control standards, performing risk assessments, risk mitigation and remediation in partnership with the Investment, Finance and Risk Model Risk Management team and the Model Risk Control Office.
To effectively manage these responsibilities, the successful candidate will work both independently and collaborate as part of a team with significant dependence on relationships with internal audit, corporate actuarial, business unit actuaries, the treasurer’s group, portfolio managers, finance, investment operations and analytical software vendors.
This individual will lead a small team responsible for:
Model Control Standards: Supporting plans and activities related to modeling systems and model risk activities across the Company to ensure consistency and transparency of modeling direction, vision, strategy, and appropriate governance controls.
Model Validation & Testing: Supervising independent periodic model validation and testing of investment, finance and risk models. This will include review, effective challenge, and written documentation, including assessment of conceptual soundness, model performance/outcomes analysis, and appropriateness of model assumptions, data sources, mathematical formulas and business applications as well as communication of key model weaknesses and data limitations (e.g., inherent model imprecision).
Model Building: Supporting the building of models and analytical tools to support the activities of the Model Risk Management group. This will involve the development of the models and tools as well as the analyzing of output.
Reporting: Supporting preparation of regular model risk status reports and reporting key observations and compliance/non-compliance with the model governance policy to Model Risk Oversight Committee. This will include ensuring that emerging risks are identified and appropriately addressed.
Desired Skills and Experience
Degree in Actuarial Science, Mathematics, Financial Engineering, Economics, Business, Science‐based, or related analytical field
Attainment of the Society of Actuaries FSA designation, or near FSA, is desired; attainment of ASA at a minimum
5+ years of experience in an actuarial field is desired
3+ years of experience in model development, implementation and/or validation is required
Proficiency in Japanese, Korean, or Portuguese language desired
Experience with capital planning or asset adequacy testing is desired
Experience with retirement or group insurance products is desired
Strong reasoning and excellent communication skills. Ability to understand complex actuarial, investment and financial issues and synthesize knowledge into a clear, concise view, reflecting unique insights based upon thoughtful analysis, to inform senior management decision-making. Must be able to communicate highly technical concepts simply to a non-technical audience, both verbally and in written communication, to achieve desired objectives.
Demonstrated advanced knowledge of software packages used in business communication such as MS Excel, Word and PowerPoint is required. Ability to convert technical findings into clear and concise PowerPoint presentations will be very important for this role.
2+ years experience managing one or more direct reports, or managing more junior level resources on projects
Ability to build and manage strong relationships while challenging and influencing people in a constructive manner
Proficiency in the use of modeling software packages, such as MG-ALFA, Prophet, PolySystems, MATLAB, and VBA
Working knowledge of programming languages, such as C, C++, JAVA is desired
Skilled with database development, maintenance, and extraction of data for reporting is desired
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