What does this job entail?
Dynamic NII simulations allow to forecast evolution of net interest
income (NII), Fair Value (NPV) and Base Point Value (BPV) under
different sets of:
• Interest rate scenarios;
• (Re)Investment rules;
• Deterministic liability cash flows;
• New production volumes and guaranteed interest rates;
• Strategic leveraging (through repurchase agreements) position.
Within the Group Risk Competence Center for Market Risk &
Liquidity (G-Risk RCF) a thorough review should be done with regard to
these dynamic NII simulations for the insurance entities.
On the one hand the known issues, drawbacks and limitations of the
current process should be addressed.
On the other hand a set of risk related NII scenario’s should be set-up, in close cooperation with the group treasury department and the local business (product development, actuarial & reporting and controlling department).
This assignment is estimated to take 60 to 80 days and would be the
ideal chance for an actuarial internship to get acquainted with one of
the core aspects in the asset liability management (ALM) view of an
The internship can be of short (<6months) or long (>6months)
duration. In the latter case, the assignment on the dynamic NII
simulations will be complemented with a (supportive) role in other key
tasks such as risk profile monitoring, forward looking risk analysis
and risk reporting and risk advices to Senior Management
What do we expect from you?
From a technical point of view
- You have a Master degree in (Applied) Economics, Commercial
Engineering, … or equal by experience.
- You are currently an actuarial science student.
- You have strong written and oral communication skills in English.
From a personal point of view
- You are a team player, but can focus on individual assignments
independently when necessary.
-You are dynamic, creative and show initiative.
- You like working in an international context.
- You have strong analytical skills allowing you to dig into a lot of information quickly and formulate relevant messages in an easy-to-understand, structured way.
- You are well organized and structured in your tasks, setting ambitious goals for yourself and respecting deadlines.
- You are eager to learn but also to share knowledge. You have a drive to continuously extend your knowledge and explore different areas of risk (management).
Published on 06/11/2018
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