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18 October 2019 ... min read Listen

Quantitative analyst - Risk Modeler (f/m)

Employee | Risk Management | Professional | 2019-08-27 | 057491

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The Risk Managementdepartment in order to strengthen its Risk Regulation and Modelling team iscurrently is looking for a :

 

Quantitativeanalyst - Risk Modeler  (f/m)

 

 

Context

 

Risk Management department(+/- 70 people) as a 2nd line of defense manages all financial andnon-financial risks of the Bank

Amongst other, the “RiskRegulation & Modelling team” is the competence center regarding Baselregulations and related risk modelling topics.

The position is located inthe Market Risk Management – Risk Regulation and Modelling team.

This position covers thecredit  risk domain.

 

 

 

Jobpurpose :

 

As a risk modeler you willbe responsible for developing, monitoring and validating all credit risk modelsfor the business. You will implement models to support the delivery of theIFRS9 compliant impairment framework whilst also continuing the follow-up andre-calibration of the IRB framework.

Besides, you will also beinvolved in market risk models, in collaboration with the MRM-Product andControl team, especially for liquidity aspects

 

 

Main duties and responsibilities :

  • Develop, implement and maintain all the models related to credit risk quantification implemented by the bank in the context of :
  • Implementation of minimum requirements regarding own funds calculation (Basel 3 requirements – Pillar 1 IRB approach)
  • Validation of economic capital required for the management of the own funds adequacy (Basel 3 requirements – Pillar 2)
  • Validation of general and specific provisions according to IFRS9 standard
  • Monitoring of internal models performance through at least annual Backtesting and Benchmarking exercises
  • Communicate with the key stakeholders across the institutions (eg business lines) and  at Head Office (eg Model development and Model Validation)
  • Able to rebuild the model offline or to recompute figures for the purpose of validation outputs
  • Document the assessment to the required standards (technical model documentation)
  • Regulatory and internal project contribution, especially in the context of regulatory change or implementation
  • Participation to regulatory reporting process (eg COREP, LAREX)
  • Helping developing new models in all risk areas (eg prepayment models, customer behavioral models)

 

 

 

 

 

 

Profile andrequirements :

 

    Knowledgeand experience :

  • University degree in mathematics, statistics or economics (BAC+5)
  • Previous experience in Risk Management, especially in modelling would be appreciated
  • Knowledge of banking and financial industry, financial and lending products, and processes
  • Sound knowledge of regulatory requirements, especially regarding CRD, CRR and IFRS9
  • Strong IT competencies (Excel, Access, Business Object) and programming (VBA, SAS, Matlab)

    Skills:

  • Pronounced ability to handle stress, high level of flexibility
  • Highly team oriented, enthusiastic and proactive
  • Ability to communicate technical topics in a clear manner
  • Well organized and able to complete tasks independently to high quality standards

 

 

Others :

  • Fluency in French and English
  • Traveling required (once every trimester).

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Please be aware that the recruitment procedures, (labour) regulations and labour agreements of Luxembourg apply.

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