Senior Quantitative Analyst (M/F)
Banque Internationale à Luxembourg
Luxembourg, Luxembourg
il y a 1j
source : Dogfinance

Description de l'entreprise

Description

Founded in 1856, the Banque Internationale à Luxembourg is the oldest multi-business bank in the Grand Duchy. From its foundation, the BIL has always played an active role in the development of the Luxembourg economy.

It currently operates in retail, private and corporate banking, as well as on major capital markets. Employing more than 1 800 people, the BIL is present in the financial hotspots that are Luxembourg, Switzerland, and China.

Responsibilities

You will integrate the Enterprise Risk Management team (ERM) which has a key role in the Risk Management department for maintaining and developing, among others, the Group Risk Appetite principles in the bank.

ERM team aims at ensuring the Risk governance is correctly embedded within the Group’s strategy through major processes like ICAAP / ILAAP or models that integrate all the risks identified through the quantification of its Economic Capital or pillar 2 stress-tests.

ERM has strong interlinkages with the top management and the regulatory bodies and is also involved in Group’s key projects.

Hence, ERM risk topics cover a wide range of activities from production of key risk indicators to complex models’ development and owning the responsibility of key reports within the Group.

Main Duties

  • Develop, implement, document and maintain quantitative models and measures such as VaR / ES, Stress Test, Economic Capital (ECAP), Financial Haircuts and IRRBB models to assess firm's risks
  • Periodically monitor the underlying risk models of ECAP, risk performance measures and conducting model backtesting and stress testing analysis
  • Integrate large datasets and implement various reports that disseminate analysis to various stakeholders
  • Collaborating with quantitative developers to engineer automated tools
  • Demonstrate an understanding of and compliance with regulatory framework relevant to risk management in the banking system such as ECB / EBA guidelines or CRR
  • Support other departments on an ad hoc basis, providing performance and risk analysis, e.g. in the context of the EBA technical guidelines regarding the IRRBB framework
  • Drive the developments of specific approaches / tools as RAROC tool
  • Understand the key risks and communicate clearly complex mathematical concepts with internal and external stakeholders
  • Profil recherché

    Must Have Requirements

  • Masters or PhD in a quantitative discipline (computer science, engineering, mathematics, econometrics, operations research, statistics, of others)
  • 8+ years in a similar role
  • Previous experience in data analysis and pragmatic approach to problem solving
  • Experience programming skills in languages such as Matlab or Python and familiarity with data science toolkits, such as scikit-learn, Pandas, matplotlib, keras, and tensorflow is considered as an advantage
  • Knowledge and / or experience with economic capital (ECAP) modeling, risk modeling, loss forecasting and / or IRRBB modelling is a strong asset
  • Strong initiative, self-motivation and ability to work in teams
  • Eager to learn and an interest in developing a holistic understanding of risk management
  • Able to manage own workload without direct supervision to ensure deadlines are met
  • Excellent verbal, written, and interpersonal communication skills (French and English).
  • FRM, PRM, and / or CFA certification is considered as an advantage
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