Arch Capital Group Ltd. (ACGL) is a Bermuda public limited liability company with approximately $10.84 billion in capital. We write insurance, reinsurance and mortgage insurance on a worldwide basis through operations in Bermuda, the United States, Europe, Australia and Canada. We invite applications for the position of Actuary – GSE CRT Portfolio Manager.
Key Duties and Responsibilities
The successful candidate will develop statistical models and forecasting methods for a variety of mortgage analytic purposes. The role encompasses Pricing, Reserving, Capital and Risk Management across ACGL’s Mortgage Segment in addition to support to Risk and Underwriting Functions of the Mortgage Group’s operating units.
• Develop and maintain mortgage loan credit risk loss forecasting models, loan delinquency and default models, loss given default models and prepayment models
• Develop and maintain cash flow models for the economic and pricing analysis of all mortgage insurance and mortgage credit risk protection products
• Design and develop a set of management information metrics and reports that will delivery timely and accurate information for:
• Delinquency, default, repossession, claim and claim severity levels for the portfolio of in force MI exposures
• Risk in force by geography, product type, borrower type, lender, etc.
• Macroeconomic indicators that impact delinquency, default, repos session and loss levels of mortgage loans including unemployment, house price inflation, interest rates and GDP
• Expected performance of the in force portfolio of mortgage loan exposures under a variety of economic stress scenarios
• Develop and maintain a database of third party and direct mortgage loan performance information for the purposes of further developing and refining Arch MI’s forecasting models
• Develop and maintain a database of economic indicators to be used for loss forecasts, market analysis, portfolio monitoring and stress testing
• Provide timely analysis and projection of credit losses for new business opportunities and existing mortgage insurance transactions
• Keep abreast of mortgage lending industry developments including, regulatory, lenders, products and related economic issues
Minimum Qualifications and Experience
• Actuarial designation with 5 years’ applicable experience
• Experience with insurance, credit risk, mortgage credit risk, corporate credit risk and financial banking exposure
• Fluency with at least one programming such as SAS, SQL, Visual Basic and database management systems
• Strong analytical, communication and time management skills with the ability to work in a team environment
• Must be able to work outside of normal office hours on a regular basis, including evenings, weekends and public holidays as necessary