Quantitative Risk Manager
Quintet Luxembourg, , LUX
il y a 1j

Purpose of the Job

As part of the Group Risk Control function, the Financial Risk & Reporting department is :

  • 1) In charge of assessing and supervising the financial risks arising from the Group activities across its entities;
  • 2) The central architect of the function risk data warehouse dedicated to regulatory and in-ternal risk reports; and

    3) The competence centre for quantitative and modelling activities for the function.

    To reinforce its Risk Modelling and Quantitative Analysis team, the Financial Risk & Reporting department is actively looking for a Quantitative Risk Manager, whose role will be to assist in the deployment of harmonised and homogeneous models, tools, and reports across the Group, covering the full spectrum of risks.

    Key Accountabilities

  • Take a key role in the design, implementation, maintenance and review of quantitative models for Group Risk Control, both for regulatory and internal purposes, across all classes of risk (credit, market, operational, climate & environmental, etc.
  • this notably includes :

  • Prototyping new models and methodologies (using tools such as Matlab and SQL) and constantly improving existing processes for the proper measurement and follow-up of financial risks;
  • Developing production-grade quality code for deployment on the IT infrastructure;
  • Contributing to a sound application of the model governance framework, by review-ing and validating models developed within the Financial Risk & Reporting depart-ment and in other departments of the Group;
  • Setting up efficient data collection processes, ensuring adequate structuring of the data in the risk data warehouse, and defining data integrity quality assurance pro-cesses;
  • Producing high-quality documentation of the models / processes developed or re-viewed; and
  • Monitoring the model performance on a regular basis and analysing the model out-comes to inform the Groups management and Board of Directors.
  • Take part to large-scale regulatory projects in response to requests from the European su-pervisory authorities : e.g. ICAAP / ILAAP, EU-wide stress tests, thematic supervisory reviews, etc.

    Support and contribute to the development of internal reporting solutions for Group Risk Control.

    Provide quantitative support and insights to other functions within the Group and demon-strate expertise when interacting with internal and external stakeholders (e.

    g. ALM, other risk departments, accounting, internal and external audit, etc.).

    Demonstrate initiative, autonomy, and independence in performing the above tasks, demon-strate sound decision-making, and support colleagues based on deep expertise and analysis.

    Knowledge and Experience

  • Advanced degree in a quantitative discipline (finance, mathematics, physics, engineering)
  • 3+ years of experience in a quantitative role (e.g. in bank, asset management or consultancy)
  • Knowledge of statistical tools and modelling techniques
  • Strong programming skills
  • Attributes and Qualities

  • Sound analytical and mathematical skills
  • Ability for oral and written communication, and ability to adjust to various audiences
  • Curious and open-minded with a real interest for learn-ing
  • Results-oriented
  • Technical Skills

  • Literacy in Matlab, SQL, SSIS
  • Fluency with the MS Office suite, especially MS Excel
  • Previous experience of database architecture would be seen as a strong asset
  • Languages Skills

  • Fluent in English; French or German is an advantage
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