Avis de recrutement : Banque Européenne d’Investissement (BEI) recrute un(e) Responsable (associé(e)) du modèle de risque de crédit, Luxembourg.

 

 

 

 

 

Operating Network

Reporting to the Head of Partnerships Unit, you will work closely with colleagues with very diverse profiles and backgrounds and across GR&C. You may be also requested to contribute to the development of the risk portfolio and pricing models managed by other Divisions within GR&C. You will cooperate with colleagues from other Directorates in the Bank, in particular with Front Office lending, the Secretariat General, and the Economics Department.

Accountabilities

  • Conduct regular runs (using existing models and tools) for the calculation of fair price and standard portfolio risk metrics (including but not limited to Expected Loss, Value at Risk, Expected Shortfall)
  • Contribute to the implementation and maintenance of models and tools for risk assessment and pricing in different capital positions in investment portfolios across different asset classes, including debt (granular and non-granular portfolios) and equity exposures
  • Participate in the prototyping of market, funding and credit risk tools according to best banking practices while understanding and adapting to the specific limitations of non-banking third parties, notably the European Commission
  • Conduct statistical analysis of internal and external data covering credit, market and funding risk
  • Document methodologies and processes and adapt the communication to audiences with varying degrees of technical knowledge
  • Contribute to the Bank’s efforts to maintain compliance with applicable best banking practices in the area of portfolio modelling and risk pricing
  • Assist the team members in designing and managing the Partnerships Unit’s key data and reporting templates with a view to deliver an excellent and timely risk assessment to the EC and other potential third parties
  • When needed, contribute to organising demos and addressing all internal and external queries related to risk assessment/measurement and pricing with both expert and non-expert stakeholders.

Qualifications

  • University degree, preferably in a STEM subject with relevant exposure to finance or risk management, or in Finance or Economics with experience in a quantitative and/ or IT domain. Related post-graduate studies or other relevant professional qualifications would be an advantage;
  • Minimum 3 years’ relevant professional experience, preferably gained in credit risk modelling, credit portfolio/economic capital or counterparty exposure modelling;
  • Knowledge of the regulatory framework, rating agency scoring models or rating scales and their mapping is an advantage;
  • Good knowledge of Python, Excel/VBA or object-oriented programming languages Ability to work with large data sets (database / SQL, Python Pandas or equivalent);
  • Excellent knowledge of English (written and oral) and/or French (*), with a good command of the other.

Close on 6 Feb 2023

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