Unlimited durationBanque Internationale à Luxembourg is the oldest bank in Luxembourg. Founded in 1856, BIL is a key player in the Retail Banking, Private Banking, Corporate Banking and Treasury and Financial Markets.
These businesses are backed up by strong Support functions and by our Operational departments.We are currently recruiting a Senior Quantitative Analyst -
Modeling (M / F) Your mission : The position is located within the Modeling unit which has as objective to : 1) Develop and maintain 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),-
The computation of the economic capital required for the management of the own funds adequacy (Basel 3 Requirements Pillar 2),-
General and specific provisions calculation according to IFRS9 standard,2) Manage and ensure the consistency of the internal rating system integration within the credit risk management process and policies of the Bank.
Your responsibilities : 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.
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.
Perform annual regulatory stress test and communication to the senior management of the results.3) Quantification of credit risk parameters involved in the context of the calculation of general and specific provisioning according to IAS39 and IFRS9.
Quantification and periodic review of the risk parameters involved in the calculation of the economic capital of the Bank.
6. 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).
7. Regulatory and internal project contribution, especially in the context of regulatory change or implementation (CRR, RTS, IFRS ).
Your profile : - University degree in quantitative discipline (Statistics, Mathematics, Econometry, Engineering ).- A significant experience (5 years min) in the area of risk modeling, especially in credit risk.