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.
Our Risk Management department is currently looking for an :
Internal Validation Manager (M / F) Your mission :
Quantitative validation of Credit Risk models mainly related to the Credit Risk Pillar I of Basel III framework and to the IFRS 9 framework :
Development and implementation of model validation processes in compliance with the regulatory requirements in the mentioned topics;
Follow-up and formulation of recommendations to improve the different model performances;
Contribution to the methodological choices in the model development stages.
Your responsabilities :
Implementation and maintenance of model validation processes (test definition, implementation and maintenance of a validation technical architecture, definition and update of the processes, etc.);
Review of backtesting exercices produced by the Modeling team;
Realization of the benchmarking annual reports related to the models used in the calculation of the capital charge for the purpose of quantitative validation;
Management of recommendations aiming at ensuring the adequacy and the compliance of models (issue and monitoring);
Leading validation committee as decision-making body related to model validation;
Production of an annual report on the rating system performance to the dedicated management bodies;
Validation of methodological choices and contribution as an expert to the model review.
Your profile :
Academical background :
Phd in mathematics / statistics , Finance or economy / management
Education level :
Minimum BAC+4 / 5
Type & years experiences :
Banking experience in the context of the implementation and management of internal rating system : min 10 years of experience;
Sound experience with the regulatory bodies.
Languages : French and English (fluent)
Technical banking knowledge :
Knowledge of financial instruments and in general of banking products, banking credit activity, risk management techniques and more particularly of risk modeling and Credit Risk management;
Other knowledge :
Quantitative and statistical techniques implemented in the modeling and valuation of Credit Risk, Rating and credit analysis method.
Knowledge of Basel III banking regulation.
Office automation and computer skills :
MS Office Suite, Statistical tools (SAS, Matlab, R .) and Business Object.
Other requirements :
Synthesis and deep analytical skills;
Excellent communication and negotiation skills.