(Associate) Officer – Internal Credit Rating Model Maintenance and Monitoring
The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Regulation and EIB Group Risk Department – EIB Group Internal Modelling Division – Model Maintenance & Monitoring Unit, at its headquarters in Luxembourg, an (Associate) Officer – Internal Credit Rating Model Maintenance and Monitoring (*). This is a full time position at grade 4/5.
(*) internal benchmark: (Associate) Credit Risk Management Officer
The Unit is in charge of performing 1st line of defence activities to ensure the robustness of the Bank’s rating systems and models (rating and/or PD models, LGD models, EAD/CCF models, both TtC and PiT). Such models are used, for instance, in regulatory and economic capital calculation, risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, so that the EIB maintains full compliance with the CRR / CRD regulatory framework, Advanced IRB requirements, IFRS9 standards as well as various Basel Committee and European Banking Authority guidelines and recommendations.
As an (Associate) Officer in the team, you will perform modelling activities around the internal models for credit risk parameters in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment and comply with the requirements of a credit risk control function
Reporting to the Head of the MMU Unit, you will work in close collaboration with colleagues from across the Risk Management Directorate and with internal model users across the EIB and EIF. You will also have regular contact with internal/external auditors, and other internal control functions (such as the EIB Group Model Validation function)
- Collaborate in project teams to improve, roll-out and execute the annual model performance exercise of the credit risk parameters models
- Participate designing, coding, and testing scripts for data collection, manipulation, statistical analysis and automatized report generation on a state-of-the-art Python platform and the migration of existing scripts from R, SAS or VBA to the Python platform
- Take part in performing model reviews that challenge existing model assumptions, standards, frameworks and methodologies, and propose changes for improvement of the credit risk parameters models
- Contribute to the roll-out and execution of the process oversight activities (e.g. model coverage and use) to ensure the soundness of all rating processes
- Execute the update of the PD methodologies (e.g pricing curves, mapping with external rating scales) and LGD models
- Conduct statistical analysis of external and internal default, recovery and credit exposure data.
- Enhance and execute the data extraction process of default and loss information for internal modelling purposes and the GEMs data consortium
- Take part in the representation of the EIB at the biannual GEMs meetings and continuous working groups with other Multilateral Development Banks and Development Finance Institutes
- Maintain and update the policies and procedures that define the activities of the unit and division to ensure adherence with overarching internal standards (e.g. Model Risk Management) and best banking practices.
- Support the team in the coordination of the division’s workplan, from liaising with the other lines of defence (e.g. validation and audit) to tracking of internal, external and self-identified findings
- Regularly interface with various stakeholders (such as model users, other control and/or infrastructure functions and external parties) to develop the relationships and raise awareness of the Division’s activities, thereby facilitating the execution of the workplan
- Provide input to presentations to the various model committees and governing bodies for their decision or information, draft respective minutes.
- University degree with quantitative focus. Post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
- At least 3 years of relevant professional experience in a model development/validation/audit role, or similar, acquired in a financial institution, regulator / supervisor, audit firm or consultancy provider
- Detailed knowledge of the Basel II/III and CRR/CRD regulatory framework, recent regulatory developments (e.g. EBA guidelines, BIS papers), and the IFRS 9 standard would be an advantage
- Experience working with large data sets and solid IT background. Knowledge of SQL would be an advantage
- Familiarity with a variety of mathematical/statistical software in particular Python, R, SAS, VBA as related to risk modelling
- Knowledge of downstream processes (regulatory and economic capital computations, loan pricing, provisioning) is considered an asset
- Excellent knowledge of English and/or French (*), with a good knowledge of the other.
(*) 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 (*).
By applying for this position you acknowledge the importance of maintaining the security and integrity of the Information of the EIB Group. In case of selection for the position you agree to comply with all measures (policies, controls, document classification and management) implemented by the EIB Group to prevent unauthorized disclosure of any information or any damage to the EIB Group reputation.
Deadline for applications: 26th September 2021. Panel interviews are anticipated for October 2021
The term of the contract will be 4 years. 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.