Experience

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  Aviva

  Jan 2016 - now

  - Setting market to credit and credit to credit correlations to be used in the Internal Model by performing extensive data analysis and applying expert judgments- Equity Volatility calibration with time series modelling- Lead Calibrator on the Interest Rates Calibration with time series modelling- Leading the LIBOR to SONIA transition in the market calibrations- Implemented Kalman Filtering for backcasting historical SWAPs data used as the underlying data for the Interest Rates Calibration- Communicated the Interest Rates Major Model Change with Bank of England (PRA) and Bank of France (ACPR)- Answering PRA/ACPR queries on the Interest Rates model- Attending external PRA meetings- Performing capital impacts using the Internal SCR Model- Assisted in setting Inter-BU Correlations- Performing Market Risk Calibrations data refresh- Monthly market trigger monitoring- Coding in SAS/Python/VBA Show less - Internal Model PSD algorithm development – replaced Cholesky Decomposition with Scaled Spectral Decomposition - Assisted with testing of new Internal Model functionality and enhancements – Tax allocated by risk, LSS by Node, 500k Risk Tag reports, Parallelisation- Developed Capital Replication Tool calculating the 1:X per risk stresses for a chosen percentile- Developed Regression and Analysis of Change tools used to analyse transition from ALGO CPM to CM3- Assisted with testing and documentation of APIs for AWS migration- Performed Internal Model Stability Testing for YE17 analysing results for GI, Market and Credit Calibrations and Operational Risk for different IM seeds Show less - Assisted senior management through the full YE16 Loss Function validation cycle (scenario selection, consolidation of Business Unit results and analysis of ALM vs Internal Model errors) - Assited with analysing the composition of the smoothing window and quantifying the impact of errors in Loss Functions on the SCR - Developed tools (SAS and Excel) and corresponding documentation that will be used for current and future Loss Function validation work - Developed an Excel tool that allows us to monitor whether any of the market risk calibration triggers have been breached - Assisted in analysing the impact of changing risk calibrations and correlations in the Internal Model- Assisted in the generation of capital reports and capital vector outside of the Internal Model Show less

  • Market Risk Calibration Manager in the Analytics and Capital Modelling (ACM) team

    Feb 2018 - now

  • Senior Actuarial Analyst in the Financial Modelling Solutions (FMS) team

    Jan 2017 - Feb 2018

  • Intern in the Analytics and Capital Modelling (ACM) team

    Jan 2016 - Jan 2017