Credit Risk Modelling Manager

Legal & General (L&G) is a leading UK financial services group and major global investor. 

We’ve been safeguarding people’s financial futures since 1836, and strive to build a better society, while improving the lives of our customers and creating value for shareholders. 

We are one of the world’s largest asset managers and provide powerful asset origination capabilities. Together, these underpin our retirement and protection solutions: we are an international player in pension risk transfer, in UK and US life insurance, and in UK workplace pensions and retirement income. 

L&G Institutional Retirement looks after around 700,000 institutional customers who have their retirement benefits secured with us. Operating continuously in the UK market from our entrance in 1987, we are the UK’s longest-running insurer. 

Our Institutional Retirement business is the UK’s longest-serving active bulk annuity provider.

Who we are 

Institutional Retirement is the only insurer to have been operating continuously in the UK market from our entrance in 1987 to the present day. Our UK retirement annuity book stands at an estimated £86.1 billion at 31 December 2023. 

Across our retail and institutional retirement businesses, we look after more than 1 million customers, around c.700,000 of whom are institutional customers who have had their retirement benefits secured with us.

We’re looking for a Credit Risk Modelling Manager to join our team and help enhance L&G’s credit risk modelling capabilities across both economic and Solvency II (SII) capital models, covering both asset and liability exposures.

In this role, you’ll also collaborate with stakeholders across the business to deliver robust, innovative solutions that meet regulatory requirements while driving value.

This position is ideal for a qualified actuary or someone with equivalent experience who is passionate about optimising capital models for assets and investments and is an exciting opportunity where your expertise can make a real impact.

We offer a hybrid working arrangement, giving you the flexibility to balance working from home with time in our London office—helping you achieve a work-life balance that works best for you.

What you'll be doing:

• Leading on technical advice and modelling for credit risk under Solvency II, including both the credit asset exposure and liability side exposure via Matching Adjustment
• Designing and implementing updates to credit risk models and coding developments in R, Python, Excel or VBA
• Providing analytical capability to understand drivers of credit risk, including market spread risk
• Collaborating with stakeholders to develop models that support investment decisions and communicating modelling approaches clearly
• Managing the production and validation of credit calibrations, including explaining calibration movements and maintaining calibration documentation
• Ensuring effective controls and compliance with Group policies and regulatory standards
• Adhering to model change policies and governance requirements
• Promoting fair treatment of customers in all activities

Who we're looking for:

• Qualified Actuary or equivalent
• Strong knowledge of statistical and risk modelling techniques, particularly around credit risk, market risk and insurance capital modelling
• Experience of hands-on model development and coding, with the ability to deliver projects
• Ability to explain complex modelling concepts to non-experts and produce clear technical documentation
• Familiarity with credit assets typically held by insurers, such as private credit and structured finance
• Excellent communication and interpersonal skills, with the ability to influence and collaborate effectively
• Strong analytical and problem-solving skills
• Flexibility and adaptability to manage change and deliver under pressure

Whatever your role, we reward performance and behaviour with a package that looks after all the things that are important to you. Here are some of the benefits we offer:

• The opportunity to participate in our annual, performance -related bonus plan and valuable share schemes
• Generous pension contribution
• Life assurance
• Healthcare Plan
• 27 days holiday, plus public holidays. There’s also the option to buy and sell holiday
• Competitive family leave
• Participate in our electric car scheme, which offers employees the option to hire a brand-new electric car through tax efficient salary sacrifice
• There are the many discounts we offer – both for our own products and at a range of high street stores and online
• In 2023, some of our workspaces were redesigned. Our offices are great spaces to connect and collaborate and have your wellbeing at the heart

At L&G, we believe it's possible to generate positive returns today while helping to build a better future for all. 

If you join us, you’ll be part of a welcoming, inclusive culture, with opportunities to collaborate with people of diverse backgrounds, views, and experiences. Guided by leaders with integrity who care about your future and wellbeing. Empowered through initiatives which support people to develop their careers and excel.

We care passionately about outcomes rather than attendance and are therefore open to discussing all kinds of flexible working options including part-time, term-time and job shares. Although some roles have limited flexibility due to customer demand, we accommodate requests when we can. 

It doesn’t matter if you don’t meet every single criterion in this advert. Instead, think about what you excel at and what else you can bring in terms of strengths, potential and connection to our purpose.