Head of Credit Assessment Models Monitoring H/F

The Group Credit Assessment team operates at a group level and is responsible for automatic and manual grading for all regions worldwide.
The team is spitted in 3parts with Data Sourcing, Data Modelling and Manual Credit Assessment.
We are here replacing a collaborator who operates autonomously on the assessment of the grade model.


THE ROLE

• Responsible for the assessment of Allianz Trade's grading models worldwide
• Building and implementing worldwide grading testing methodology both for business steering and for regulatory purposes
• Ensure compliance of the grading process with governance rules and SII requirements
• Contribute to steer and monitor Credit Assessment in the regions
• Ensure the successful migration of model monitoring activities, encompassing both data sourcing and software/interface components

• Be able to build, implement and quickly adapt a testing framework that allows to efficiently assess the strength and spot the weaknesses in our models, in particular in case of stress with the expected changing economic environment and with the changes in technologies and algorithms methodologies (fuzzy logic, machine learning...) and propose improvements
• Contributing to ensuring the best possible quality of information and grading and credit risk assessment
• Ensuring accurate data comparison and validation while coordinating with stakeholders during the migration from decommissioned data sources to new ones

• Builds and designs accurate and timely AZT grading testing models according to Solvency II requirements: discriminatory, accuracy, stability, sensitivity analysis, etc
• Builds and designs flexible and reactive testing models that support the business on a frequent basis: incl. change in models’ methods, change in economic environment...
• Independently assesses future models by implementing the relevant testing calculations within the timescale allocated.
• Writes and updates grading testing guidelines and procedures.
• Monitors and updates testing calculations and documentation when necessary.
• Delivers testing reports and KPIs that will finally be provided to the Solvency II Regulators.
• Takes part in business meetings and communicates output of the testing and suggests improvements
• Delivers a clear communication of the testing analysis.
• Ensures the compliance of the grading process with Allianz governance rules.
• Liaises with the other Credit Assessment teams, Group Risk, Group IT and Ops
• Contributes to Credit Assessment standards definitions and evolution
• Production and monitoring of quarterly key indicators
• Manages the migration of data sourcing from an old, soon-to-be-decommissioned data source to a new, viable data source
• Develops an automated data sourcing pipeline to extract data for model monitoring activities
• Migrates existing code and applications from R, LaTeX, and Shiny to Python, LaTeX, and Python Dash

Postuler