Junior Quantitative Risk Manager (M/F)
KBL European Private Bankers
Luxembourg, LU
il y a 5j

Job Responsibilities :

  • Take part in the Design, implementation and maintenance of quantitative models for Group Risk Control, both for regulatory and internal purposes, across all classes of risk (credit, market, operational);
  • this notably includes :

  • The setting up of data collection processes, the adequate structuring of data in the function internal database, and the definition of quality assurance processes in order to ensure data integrity
  • The development of production-grade quality code and its deployment on the IT infrastructure
  • The definition of the associated governance frameworks
  • The monitoring of model performance and the review of model parameters.
  • Liaise with and support subsidiaries on quantitative topics to ensure model alignment across the Group (IFRS9, IRRBB, ICAAP).
  • Actively participate in ECB's EU-wide stress tests through the development of ad hoc models and tools, and the adaptation of stress scenarios.
  • Contribute to the review of structured product prices.
  • Support and contribute to the development of internal reporting solutions for Risk Control.
  • Work on ad hoc projects within the frame of a fast moving regulatory environment.
  • Provide quantitative support and insights to other Group functions.
  • Qualifications :

  • Master (BAC + 5) in a quantitative discipline (finance, mathematics, physics, engineering),
  • Understanding of the banking sector and knowledge of banking products and financial instruments are an asset,
  • Knowledge of banking regulations is a plus.
  • Skills :

  • Strong analytical and mathematical skills
  • Literacy in programming languages, preferably VBA, MATLAB
  • Knowledge of data management tools : SQL, SSIS, SSAS, MS Access
  • Fluency with the MS Office suite, in particular with MS Excel
  • Curious and open-minded with a real interest for learning
  • Results-oriented
  • Languages :

  • English and French are required,
  • Any other languages is an asset.
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