Senior Market & Liquidity Risk Anayst (M/F)
Banque Internationale à Luxembourg (BIL)
2953 Luxembourg, LU
il y a 1j
source : 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 About Financial Risk Management department : In close collaboration with the trading room operators, BIL's Financial Risk Management team oversees various activities in relation to market, liquidity and counterparty risks.

  • Within this framework, the team is notably responsible for : Monitoring the risks induced by the different trading desks (VaR, Stress Tests and Greeks);
  • Computing and analysing the P&L generated by the dealing room; Assessing the interest rate (IRRBB) and liquidity (LCR / NSFR) risks related to the Banking Book;
  • Managing the collateral induced by the derivatives and structured products portfolio; Ensuring the Front Office system administration and the related data management.

    Overall purpose of the function : The Senior Market and Liquidity Risk Analyst is a transversal function within the Market and Liquidity Risk team.

    He will assist the Market and Liquidity Risk Manager by : Working on the daily and monthly reporting activity; Handling hot topics such as regulatory requirements, bank’s transformation plan or specific demands from the management.

    In view of the current priorities of the department, the Senior Market and Liquidity Risk Analyst will firstly be focused on IRRBB related assignments.

  • Key Accountabilities : Develop, refine and automate metrics and methodologies dedicated to IRRBB assessment (EVE, NII, CSRBB);
  • Together with ALM and ERM teams, support the modelling of non-maturing deposits, prepayment and non-performing exposures;
  • Within the transformation plan framework, handling the migration from Fermat ALM to RCO ALM together with IT and project teams;
  • Take part in the overall risk reporting process, including SREP and ICAAP contributions, and provide analyses to meet regulatory and management requirements;
  • In the longer term, address the new regulatory challenges of the department (EMIR Initial Margin implementation, FRTB related developments and structured products risk framework enhancement).

  • Stakeholder Management : The Senior Market and Liquidity Risk Analyst will : Support the Market and Liquidity Risk team in adherence to applicable Policies and Standards;
  • Drive the development of the Market and Liquidity Risk team through regular and focused learning and development activity;
  • Manage stakeholder across Banking Book Management and Product and Markets departments to benefit from a global vision of the balance sheet Must Have Requirements You have : A master’s degree (or equivalent) in Finance / Economy / Mathematics;
  • A minimum 5-year experience in the Financial Risk Management or Asset and Liability Management department. Knowledge and expertise : Strong product knowledge of interest rate and FOREX derivatives, financing products, collateral management and capital markets instruments;
  • experience with structured products is an advantage; Proven experience in computing and analysing financial risk metrics (VaR, sensitivities and stress testing);
  • Good understanding of the balance sheet structure and composition of universal banks; Awareness of the regulatory landscape as it pertains to financial risk management and of the global structural reform agenda;
  • Ability to handle multiple tasks and prioritize accordingly. Technical skills : Advanced proficiency in MS Excel / VBA is mandatory;
  • knowledge of Fermat ALM / RCO ALM, RiskMetrics, Business Object, Dataiku, SQL and Python is an advantage; Fluent in French and English.

    Interpersonal skills : Propensity for teamwork and natural willingness to support the stakeholders within the team; Proven ability to convey knowledge, expertise and conduct standards to more junior staff and to nurture and promote a culture of continuous improvement.

    Effective relationship management skills across technical and non-technical stakeholders, with ability to tailor explanations to level of expertise of audience.

    Education level : Master's Degree Work experience : 5-7 years Start contract date : 07-01-20

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