David Cooke Email & Phone Number

Chinnor, Gb

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:• Led a team of 5 to completely redevelop the UKWM US GAAP reporting in terms of:o Model – moving from separate PathWise and MG Hedge models for SOP 03-1 and FAS 157 reserves to a single PathWise model for MRB reserves.o Basis – Allowing for changes in US GAAP reporting under the new LDTI framework.o Process – Building, from scratch, a new automated process for monthly US GAAP reporting, analysis, controls and disclosures.• Led a project to move hedging and attribution processes to a single automated process in line with new LDTI models and basis.• Both of the above projects required extensive collaboration across various functions and stakeholders, along with detailed project planning, documentation and regular presentations to working groups and committees. • In addition to the above, there were also successful internal and external validations of the new model and process both requiring extensive engagement. • Alongside the above, monthly BAU work continued uninterrupted including relevant analysis, audits and controls (including SOX controls).

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 business on both a reserving and capital basis (known as AG43 and C3P2 respectively)• 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• Various other smaller projects such as validating the stress and scenario testing results from JNL which fed into the RST and GRA, assisting in developing the Group cashcall model and building a new database process (Excel and VBA based) for past and future stress and scenario testing results across the Group.

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 the PIM• Assisted in the pricing and capital modelling and valuation review of a new micro-CPPI product • Key involvement in other projects including US ECap methodology, capital optimisation across all business lines, developing a BAU process for the PIM along with suitable controls, developing an asset projection tool for other business lines for the ORSA, pricing and capital modelling of a new micro-CPPI product, counterparty default risk and operational risk methodologies• Involved in various other projects including analysis of look-through data, analysis of target volatility funds and modelling algorithm, profit and loss attribution, and analysis of change development• Played an active role in planning the PIM project as well as managing resources within the team to ensure sub-projects were completed on time and to stakeholders’ satisfaction • Pathwise model review and development for stochastic modelling

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 Quality papers.• 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. Premium checking, and various ad hoc asset-based investigations. Client quotes and signing of accounts. • 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, bond transition investigations and the analysing of data provided by Moody’s to develop default assumptions. • 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