Quantitative Risk Modeller

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Quantitative Risk Modeller

mid · Risk & Compliance

Quantitative Risk Modeller

About us

ČSOB is part of KBC Group which is an integrated bank-insurance group catering mainly for retail, private banking, SME and mid-cap clients. Geographically, KBC focuses on core markets of Belgium, the Czech Republic, Slovakia, Hungary and Bulgaria. The Risk Modelling team provides risk modelling services for KBC Group. Because risk measurement is more than modelling alone, we work closely together with other risk experts (project & process managers, risk advisors) to produce reliable risk figures for KBC Group.

We are looking for a junior or mid-senior level Insurance Risk Modeller to join our Prague team, working on insurance risk measurement models at KBC Group level. Your primary focus will be the Solvency Stress Analyzer (SSA), a key model used to assess the impact of adverse market scenarios on insurance portfolios. The SSA measures the effect of interest rate, credit spread, foreign exchange and equity shocks on both assets and insurance liabilities, and quantifies the resulting impact on the Solvency II ratio. You will contribute to the maintenance, enhancement and technical implementation of the SSA, while also supporting several other insurance risk models. This role is ideal for someone who enjoys combining quantitative modelling, technical implementation and close cooperation with risk experts and other stakeholders.

What does the job entail? / What awaits you?

Risk managers at the KBC Group use a number of quantitative models to measure financial risks. Become their colleague, improving existing models and developing powerful new ones too. 

The goal? Robust, efficient and transparent insurance risk models that support risk management and regulatory decision-making in a fast-evolving and highly regulated environment. This is a great role if you are curious, analytical and enjoy working in a team-oriented, supportive environment with space to grow and develop new skills.

The current position is situated within the Insurance Risk domain, with a strong focus on Solvency II-related modelling and stress testing. Besides model development and maintenance, the role also includes technical implementation, deployment and operational support of models in our acceptance and production environments. Over time, there will be opportunities to broaden your expertise across additional risk types and quantitative risk modelling activities.

What are your tasks?

• You will use your quantitative expertise to maintain, improve and further develop the group-wide Solvency Stress Analyzer (SSA) and other insurance risk models.
• You will support the modelling of insurance asset and liability portfolios under stressed market conditions and assess impacts on the Solvency II ratio and capital position.
• Together with ICT colleagues, you will implement, deploy and maintain models within our risk infrastructure and support their operation in both acceptance and production environments.
• You will participate in business-as-usual processes and provide support regarding model execution, results interpretation and issue resolution.
• You will work closely with insurance risk experts, actuaries, validation teams and other stakeholders across KBC Group.
• You will contribute to the continuous modernization and industrialization of our modelling landscape, including automation, monitoring and deployment activities.
• You clearly document your work and regularly communicate model developments, results and findings to stakeholders and senior management.

Are these your strengths?

• You have a master’s degree or PhD in a relevant area such as mathematics, physics, civil engineering or economy. Quantitative modelling and analysis fascinate you.
• Actively participating in a discussion, clearly wording complex matters without relying on too many industry terms and documenting your work? You do them all effortlessly in English.
• You’re self-motivated, curious, eager to understand how things work, and enjoy solving problems collaboratively.
• We mainly work with Python, so experience with Python development is preferred. Experience with software deployment, version control, automation, data processing or model implementation in production environments is a strong asset. Familiarity with large datasets is beneficial.
• Just like your colleagues, you enjoy reaching goals as a team and continuously learning. You look forward to learning new – and sometimes complex – concepts.
• Experience with insurance risk, Solvency II, actuarial modelling, financial risk modelling or model validation is a plus, but not required.
• Knowledge of market risk concepts (interest rate, credit spread, foreign exchange or equity risk) is considered an advantage given their relevance for insurance stress testing

Why choose this job?

• You’re assured of an excellent onboarding and a pleasant, collegial work atmosphere with international team where different perspectives are valued.
• Throughout your entire career, we encourage you to grow as a person and as a professional. You can follow training courses in which you further sharpen your soft and hard skills.
• Our offices are easily accessible by public transport – metro Radlická. You’re also welcome to partly work from home. 
• Flexible work hours help you to balance your work and your private life.
• We offer you a competitive salary, supplemented by extra ČSOB benefits.

We welcome all backgrounds

At ČSOB, we value diversity and are committed to creating an inclusive environment. We encourage applications from people of all genders, backgrounds, and experiences – even if you do not meet every single requirement.

Co nabízíme

Kontakt

• a lmalinova@csob.cz
• a Lenka Malinová