David Cooke Email & Phone Number

Chinnor, GB

Part of the ALM reporting team with a focus on NIR, Investment Experience, PCA and quarterly ALM reporting.

Remote, With Visits To Noida Office

• Returned to MetLife as a contractor, initially a part of the UK Wealth Management Analysis team, working on:
• Monthly and quarterly analysis of valuation and reporting results for the UKWM book across various bases – SII, EC, BMA.
• Led the annual ORSA work for the UKWM book, including various scenarios.
• Monthly ALM runs for hedging purposes.
• Experience analysis work – with a particular focus on lapses (base and dynamic).
• Various ad-hoc analysis and valuation requests around the UKWM book across various bases.In October 2021 moved to lead the UKWM LDTI project:

London, United Kingdom

• Worked as a contractor as part of the Group Enterprise Risk team, focusing initially on assisting with the demerger work between Prudential Group and M&G with a focus on the Group G-SII requirements. Work included:
• Lead on the Group SRMP document and data collection exercises required for G-SII submissions, along with assisting with the LRMP and RCP documents
• A specific focus on the Group’s VA exposure through Jackson National Life (JNL). This included local statutory results validation but also leading a knowledge-sharing project on statutory changes in the US for VA.
• Developing the modelling and methodology for the annual Group reverse stress testing (RST) exercise and producing results to be used both in the G-SII and Group Risk Appetite (GRA) projects
• Building a “light” Excel model for a hypothetical US VA product to illustrate the differences between ECap, SII and US Local Statutory regimes
• Developing and formalising the Group 1-in-X framework on both a Local Statutory and ECap basis

1 Canada Square, London

• Solvency II And Emerging IssuesWorked as part of the SII project and implementation team, with an initial focus on developing a PIM for the VA business, along with:
• Developed and documented Solvency II methodology for the PIM for VA business on various risks – including equity level, FX and basis risk
• Assisted in developing and reviewing SII methodology for other risks including interest rate level, interest rate volatility, equity volatility and lapse risks and aggregation methodology and process in “R”
• Produced quarterly numbers for the VA business on both a Standard Formula and PIM (SII) basis, along with other valuations and projections such as EIOPA stress tests, ORSA, global EV, ECap, CBI requests and NSTs
• Presented methodology recommendations, updates and results to Technical Committees, Working Groups and senior management
• Liaised with hedging and ESG teams on methodology developments and technical issues relating to the VA business, and assisted in developing a Solvency Monitoring Tool and the capability to produce a 1-month VaR with.

London/Dorking

• Solvency II Pillar 1 Aggregation and Validation:Worked as part of the Pillar 1 team, tasked with performing in-depth analysis on various Solvency II risks, as well as performing refreshes on a number of Statistical.
• Led refreshes on FX risk, mortality risk and swap-gilt spread basis risk Statistical Quality papers, involving liaising with various risk functions and presenting papers to the Risk Committee
• Involved in regular Technical Committee meetings to discuss methodology behind and progress of various risks
• Assisted on a number of other projects, such as credit risk, lapse risk and the dependency modelling paper.
• Lead role in handover of various risks to BAU teams, including producing various User Guides for Statistical Quality and Validation paper refreshes.
• Various ad-hoc investigations and document reviews.

London, United Kingdom

• Workload covered analysis work on client data, reviewing existing treaties, creating and assisting with various models used for Solvency II and QIS5. Strong focus on asset-backed annuity valuation and reporting..
• Asset models and bond markets: Responsibility of running and developing various asset models for valuation purposes. Increased knowledge and understanding of Excel models. Further work included analysis of surplus.
• Solvency II and QIS5: Involved in both developing and running models for Solvency II, specifically for market and credit risk. Also assisted in creating and running models for various risks as required for QIS5.
• Treaty monitoring: Monitoring various treaties written by XL Re. Including experience analysis, profit testing, signing off accounts and building and running premium checking models.
• Documentation: Lead role in team implementing Technical Actuarial Standard M. This has included writing a summary document on TAS-M itself and creating and developing documentation for various other models.
• Regular use of Excel, strong model building skills and ability with VBA. Comfortable using programs such as Igloo, Access and Project. Proficient with MoSes including two day Towers Watson course.

Bachelor Of Science (Bsc), Astrophysics

Bachelor Of Science (Bsc), Astrophysics