Senior Credit Data Scientist IRBA models (M/F)
Banque Internationale à Luxembourg (BIL)
1009 Luxembourg, LU
il y a 6j
source : jobs.lu

bil.com Description Founded in 1856, Banque Internationale à Luxembourg (BIL) is the oldest multi-business bank in the Grand Duchy.

It has 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 the financial markets.

Employing more than 2,000 people, BIL is present in the financial centres of Luxembourg, Switzerland (since 1984), Denmark (since 2000), the Middle East (since 2005) and Sweden (since 2016).

Responsibilities The position is located within the Credit Data Science unit and you will report to the IRBA models team leader You will be responsible for : 1) Developing and maintaining, in an Agile framework, all the models related to the credit risk quantification implemented by the Bank in the context of : The implementation of minimum requirements regarding the own funds calculation (Basel 3 Requirements Pillar 1 A-IRB approach), General and specific provisions calculation according to IFRS9 standard, 2) Managing and ensuring the consistency of the internal rating system integration within the credit risk management process and policies of the Bank What will you do : 1) Implementation and maintenance of internal database required in the context of credit risk model development / maintenance : Define and manage business requirements of data flow regarding data used in credit risk quantification.

Implement data quality processes and reports in order to monitor data consistency and quality. Manage data correction and data improvement requests.

2) Quantification of credit risk parameters involved in the context of the regulatory minimum capital requirements calculation (regulatory requirements based on the CRD IV Pillar 1, A-IRB) : Develop and maintain risk parameters quantification models and the related internal rating system (IRS) involved in the capital requirement calculation, according to the regulatory minimum requirements and standards, and their consistency with the internal credit risk processes and policies.

Monitor of the internal model performance through regular Backtesting and Benchmarking exercises, and implementation of appropriate actions in order to maintain the required level of model performance.

Manage the homologation process of the models involving the supervisory authorities (CSSF / ECB), the validation unit and the internal audit.

Manage the implementation and the dissemination of the A-IRB model within the internal system and process of the Bank. Perform annual regulatory stress test and communication to the senior management of the results.

3) Business Integration Ensure and facilitate the integration of the risk parameter assessment and the related tools within the credit risk management process, at the middle office level (provisioning, RWA calculation, risk reports) and at the front office level (credit granting).

Collect and manage internal requests (Credit risk, Marketing, Front Office) regarding credit risk model development or improvement.

4) Regulatory and internal project contribution, especially in the context of regulatory change or implementation (CRR, RTS, IFRS ).

Must Have Requirements Master's degree in quantitative discipline (Statistics, Mathematics, Econometry, Engineering ). A significant experience of 5 years in the area of risk modeling, especially in credit risk.

Knowledge of the banking / financial industry, and of the credit products and processes. A first experience in Credit Data Science is required.

Sound knowledge of regulatory requirements, especially regarding CRD, CRR and IFRS9. Knowledge of data management and computational software such as Python (preferably), SAS, SQL, Matlab, R .

  • Fluent in French and English. Education level : Master's Degree Work experience : 5-7 years Start contract date : 25-11-19 Contract duration : Undefined
  • Postuler
    Ajouter aux favoris
    Retirer des favoris
    Postuler
    Mon email
    En cliquant sur « Continuer », je consens au traitement de mes données et à recevoir des alertes email, tel que détaillé dans la Politique de confidentialité de neuvoo. Je peux retirer mon consentement ou me désinscrire à tout moment.
    Continuer
    Formulaire de candidature