Dec 2016 – Sep 2017 · 9 mos · London, United Kingdom

• Developed models for Equity Release Mortgage to perform regular valuation of underlying loans & Stress testing.
• Developed cash-flow models for £55 billion of L&G assets to be used for development and validation of production models.
• Functional specialist in the change project to update valuation interest rate model.

Dec 2014 – Dec 2016 · 2 yrs · Potters bar

• Capital Optimization
• o Provide quantitative and qualitative due diligence for restructuring of mortgages and properties to be Matching Adjustment (MA)eligible assets via internal securitization (ongoing).
• o Performed asset selection and cashflow matching to include annuities liabilities in the MA Portfolio.
• o Supporting the reporting team to calculate transitional measures on technical provisions to reduce SII base liabilities.
• Credit Risk Development
• o Developed and modified credit risk model for SII Pillar 1 and ORSA outputs. The key model outputs were distribution of market credit spreads,fundamental spreads and transition matrices.(Development done in R and Excel)
• o Developed projection model for credit assets to estimate future cashflows allowing for runoffs, transitions, defaults and rebalancing.Developed a model to estimate Swap-Gilt basis risk for government bonds.
• o Performed first line validation of the model, documented the results, and developed board presentations for model signoff.

Nov 2013 – Nov 2014 · 1 yr · Birmingham, United Kingdom

• ➢ Supporting Chief Risk Officer to identify, monitor and manage financial risks faced by Wesleyan.
• ➢ Supporting Executive committees by providing technical feedback on ALM strategies, assumptions and modelling changes.
• ➢ Lead the design, development, testing, validation and documentation of the Internal Model (IM)

Dec 2011 – Oct 2013 · 1 yr 10 mos · Birmingham, United Kingdom

• o Reporting responsibilities for two of Phoenix’s With-Profits funds (combined liability over £6 billion).
• o Liaised with the Finance Director and the Head of Actuarial Function to agree assumptions, delivery plans and methodology of actuarial reports.
• o These reports include FSA returns, IFRS results and commentary, Embedded Value report, valuation results report, methodology and assumptions documents, ICA report, board and committee papers, other regulatory reports as required.
• o Lead and review the deliveries/results from data team, modeling team, assets team and production team. Review results produced for completeness and accuracy.
• o Support WP management, Asset Liability Management, Capital Management and Entity Reporting to explain valuation methods/results and recommend actions for managing the business and customers.
• o Active involvement with the Solvency II and Actuarial System Transformation (AST) teams to Sign off / Review any technical paper which impacts the reporting of the With-Profits funds
• o Assumptions actuary for setting the Guaranteed Annuity Options take up rates for all With-Profits funds of Phoenix.
• Previous engagements
• Economic Scenario technical Expert:
• o Responsible to ensure that the economic stochastic scenarios and risk correlations used for the internal model are appropriate under solvency II in particular with reference to level 1 text article 120-125.
• o Developed model validations techniques to provide evidences that underlying stochastic models used for different market risks are appropriate for the Phoenix business.
• o Submitted 2 technical papers to FSA which details theory, assumptions, mathematical and empirical basis for modeling various market risks, validation of these models and controls around them.

Feb 2011 – Dec 2011 · 10 mos

• o Regulatory Valuation: Responsible for calculation of regulatory reserves for With Profit fund with more than £3.5 billion liability. Product reported - Whole of life, Endowment, Deferred annuities, Unitized with profit, Unit link products
• o Solvency II reporting: Producing Solvency II (SII) base technical liability for overall fund and quantifying Solvency Capital requirement (SCR) for deferred annuity business (Non-Profit).
• o Reports: Produced Analysis of surplus, board reports, FSA forms, and other commentaries and presented them to the reviewer.
• o Asset Valuation: Valuation of derivative for 4 Phoenix funds. Assets included: swap, spread locks, futures and currency forwards.
• o Team Management: Lead team of 4 modelers, responsible for their day to day planning and delivery. Line Manager for 3 other modelers, did performance management, 1-2-1, work plans etc.

Sep 2009 – Jan 2011 · 1 yr 4 mos · London, United Kingdom

• o Asset Valuation: developed models to value assets for Prudential UK’s non-profit annuity business. Developed models for generic bonds, Index link bonds, LPI-RPI swaps and other instruments.
• o Risk Scenario Generator (RSG) development: involved in credit spread modeling, validation of results.
• o Support and development of Economic Scenario Generator (ESG) for stochastic Asset liability model.
• o Developed prototype general rating based credit risk model (extended JLT with stochastic spreads) & Heston Model with stochastic jump process for Equities.
• o Involved in development of pilot internal model on VB platform for Pillar I Solvency II.

Jul 2006 – Sep 2009 · 3 yrs 2 mos

• Capital Modeling Team (April 08- Aug 09 )
• o Responsible for calibrating ESG for asset liability modeling runs.
• o Used market data and forward rates to calibrate models of Nominal and real Interest Rate, Equity, Property, Corporate Bond (Credit Losses, Credit Spread ) for both real world and risk neutral scenarios.
• o Worked on various interest rate, equity and corporate bond model to price swaption, caplets and various options with similar characteristics as option in liabilities.
• Entity Risk Assessment (Jan 08 - March 08)
• o Prepared risk reports for the Prudential Board to help assess financial, operational, compliance and business environment risks for various business entities.
• o Analyzed various regulatory and financial reports (EEV, FCR and ICA) and risk registers and performed market research to identify and assess risks faced by business.
• Valuation Team and Projects (July 06 - Dec 07)
• o In depth knowledge of US GAAP for Annuities valuation. Performed reserve calculations using Microsoft Access applications
• o Prepared reference documents for the Equitable Life bulk annuity deal. Tested robustness of existing valuation and admin systems to handle Equitable Life data.
• o Developed new Excel VBA tools and updated existing ones for calculating surrender values and bonuses for Prudential’s mortgage products.
• o Developed MVR calculation tools in Excel for Prudential WP investment bond.
• o Worked on calculation of transfer values and paid-up values for deferred annuity products.