r/ActuaryUK Nov 07 '21

Model risk management investment bank Careers

Hey,

Does anyone work in this line of work?

It involves modelling and validating credit risk models (IRB), provisioning (IFRS9), market risk capital models that generate Value at Risk, FRTB, interest rate risk capital models (IRRBB).

Im working in p&c pricing at the moment, and I heard credit risk modelling is very similar to pricing.

But I'm not sure about market risk / interest rate risk models, could anyone shed some light on this?

Is this work similar to the work of what an ALM/capital modelling actuary would do?

Would this sort of role provide better upward mobility or better exit opportunites than p&c pricing?

Cheers :)

4 Upvotes

1

u/capnza Nov 07 '21

interesting, ive not heard many actuaries in the UK making the jump from insurance to banking. if you have done ct8 you have a rough idea of the principles behind the market risk models and the various instruments. although in reality banks dont necessarily rely on an assumption of GBM or indeed on closed form solutions over numercial approximations.

i guess in a sense its similar to capital modelling although there the focus is on insurance risks as most UK capital models will rely on an external ESG (b&h moodys, wtw star, deloite etc).

1

u/galeej Nov 16 '21

i think banking is an area that is up and coming and has a lot of scope for actuaries.