Quant Risk Analyst — Abeille Assurances
Quantitative risk modeling for insurance assets under Solvency II framework
Internship Overview
During my summer internship at Abeille Assurances, I worked in the models team on critical models for the company's Economic Scenario Generator (ESG). The work focused on improving the accuracy of inflation modeling and developing new capabilities for credit risk assessment on private bonds.
Abeille Assurances, formerly Aviva France, is one of the major insurance companies in France, managing billions of euros in assets that require sophisticated risk management approaches compliant with Solvency II regulations.
Key Responsibilities
- ESG Enhancement: Implemented models to improve the Economic Scenario Generator performance under nominal rate shocks and default risk scenarios.
- Hull-White Calibration: Calibrated the Hull-White one-factor model for inflation dynamics, achieving significant precision improvements in inflation projections.
- Credit Risk Modeling: Developed the Longstaff-Mithal-Neis (LMN) model for credit risk assessment on private bonds, enabling more accurate pricing and risk measurement.
Key Achievements
Precision Improvement
Hull-White calibration doubled the precision of inflation projections
LMN Model
Laid the foundations for the default intensity model to enhance private bond pricing
Production Deployment
Models validated and integrated into production ESG system
Technical Details
Hull-White Model
One-factor short rate model with mean reversion for modeling inflation term structure dynamics
Longstaff-Mithal-Neis Model
Structural credit risk model decomposing corporate bond spreads into default and liquidity components
Solvency II Framework
Regulatory compliance ensuring robust risk measurement and capital adequacy