Credit Risk Model Development & Stress Testing

Location
Luxembourg
Salary
Competitive salary
Posted
17 Sep 2019
Closes
01 Oct 2019
Contract Type
Contract, Permanent
Hours
Full Time

The term of this contract will be 4 years.

Panel interviews are anticipated for the end October/early November 2019

The EIB offers fixed-term contracts of up to a maximum of 6 years, according to business needs, with a possibility to convert to a permanent contract, subject to organisational requirements and individual performance.

Purpose
You will develop, maintain and upgrade the internal credit risk models used for capital calculation, pricing, macroeconomic stress testing, economic capital and IFRS9 in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment.

Operating Network
Reporting to the Head of Unit, you will have contact with a range of colleagues, via workshops, emails, phone calls, one-to-one meetings:

  • the model users (in other RM teams, and also in front office lending, transaction portfolio monitoring, Finance, and Financial Control) to support them, ensure correct use of the models and retrieve regular feedback on the model’s behaviour
  • other modellers (e.g. in the Economics Department and at the EIF) that provide input to certain models owned by IM or develop similar models
  • model validators (in RM and Internal Audit) to support and consult them during the validation exercise
  • IT to ensure robust implementation and integration of the internal model’s in EIB’s IT systems
  • other subject matter experts (in RM, Legal and the technical Projects Directorate) to get their input and opinion on specific topics.


You will also interact externally with external auditors and/or consultants.

Accountabilities

  • Develop and improve the internal PD, LGD and EAD/CCF credit risk models in accordance with internal standards and best banking practices.
  • Develop and improve the macro-economic stress testing and IFRS9 models for credit risk parameters.
  • Challenge existing model assumptions, standards, framework, design, methodologies and calibrations, propose changes for improvement and be able to implement those changes in a timely manner as and when needed.
  • Regularly interface with colleagues, model stakeholders/users and independent validation to discuss findings and potential model improvements.
  • Coordinate related implementation projects with IT when needed.
  • Directly contribute to EIB’s efforts to maintain full compliance with regulatory requirements as laid out in the documents contained in EBA’s Single Rulebook, ECB’s TRIM guide, the Basel Framework, the IFRS 9 standard and other important outside-EU regulatory documents with special focus on credit risk models, A-IRB requirements and model governance.

Qualifications

  • University degree with quantitative focus, preferably in Mathematics, Statistics, Finance, Science or Engineering. PhD and/or other post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage.
  • At least 5 years of highly relevant professional experience acquired in a credit risk model development and/or validation role in an A-IRB bank, national regulator or consultancy provider.
  • Detailed knowledge of the EBA Single Rulebook, the ECB TRIM guide, the Basel Framework and the IFRS 9 standard.
  • Experience working with large data sets and solid IT background (SQL, Oracle, Sybase, SAS, Python, R, Matlab).
  • Familiarity with specialised software and data sources as related to credit risk modelling (e.g. Moody’s DRD, Moody’s RiskCalcTM LGD, Kamakura, S&P Capital IQ, BvD Orbis) is considered an asset
  • Excellent knowledge of English and/or French and a good command of the other (*). Knowledge of other European Union languages would be an advantage.

Competencies

  • Achievement Drive: Continually keeps an eye on performance, focusing on improving it, showing drive and determination to meet short and long-term goals.
  • Change Orientation: Adapts to differences and changes in the environment; takes a flexible approach to reach outcomes.
  • Collaboration: Works cooperatively as part of a team; works collaboratively with peers across organisational boundaries based on a genuine interest in and an accurate understanding of others and their individual perspectives and concerns.
  • Organisational Commitment: Is willing to commit to an organisation whose mission is to support Europe and is open to diversity, and to align her/his own behaviour with the organisation’s needs and intrinsic values, acting with integrity in ways that promote the organisation’s mission, policies and rules.


(*) There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in French. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of French and accept that their future career in the EIB may be subject to the attainment of sufficient proficiency in both of the Bank's working languages

We are an equal opportunity employer, who believes that diversity is good for our people and our business. As such, we promote the inclusion of suitably qualified and experienced staff without regard to their gender, age, racial or ethnic origin, religion or beliefs, sexual orientation/identity, or disability (**).

(**) We particularly welcome applications from women and persons with disabilities.

Deadline for applications: 1st October 2019

Interested
You can apply via the ''Apply'' button.

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