Founded in 1856, Banque Internationale à Luxembourg (BIL) is the oldest multi-business bank in the Grand Duchy. It has always played an active role in the main stages of development of the Luxembourg economy. It currently operates in retail, private and corporate banking, as well as on financial markets. Employing more than 2,000 people, BIL is present in the financial centres of Luxembourg, Switzerland, Denmark, and China.
Quantitative validation of Credit Risk models mainly related to the Credit Risk Pillar I of Basel III framework and to the IFRS 9 framework:
o Development and implementation of model validation processes in compliance with the regulatory requirements in the mentioned topics;
o Follow-up and formulation of recommendations to improve the different model performances;
o Contribution to the methodological choices in the model development stages.
Your responsibilities :
o Implementation and maintenance of model validation processes (test definition, implementation and maintenance of a validation technical architecture, definition and update of the processes, etc.);
o Review of backtesting exercices produced by the Modeling team;
o Realization of the benchmarking annual reports related to the models used in the calculation of the capital charge for the purpose of quantitative validation;
o Management of recommendations aiming at ensuring the adequacy and the compliance of models (issue and monitoring);
o Leading validation committee as decision-making body related to model validation;
o Production of an annual report on the rating system performance to the dedicated management bodies;
o Validation of methodological choices and contribution as an expert to the model review.
Must Have Requirements
o Academical background :
o Phd in mathematics / statistics , Finance or economy / management
o Education level :
o Minimum BAC+4/5
o Type & years experiences :
o Banking experience in the context of the implementation and management of internal rating system : min 10 years of experience;
o Sound experience with the regulatory bodies, TRIM process
o Languages :
o French and English (fluent)
o Technical banking knowledge :
o Knowledge of financial instruments and in general of banking products, banking credit activity, risk management techniques and more particularly of risk modeling and Credit Risk management;
o Other knowledge :
o Quantitative and statistical techniques implemented in the modeling and valuation of Credit Risk, Rating and credit analysis method. Knowledge of Basel III banking regulation.
o Office automation and computer skills :
o MS Office Suite, Statistical tools (SAS, Matlab, Python….) and Business Object.
o Other requirements :
o Synthesis and deep analytical skills;
o Excellent communication and negotiation skills.