The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate - Regulation and EIB Group Risk Department - EIB Group Internal Modelling Division, at its headquarters in Luxembourg, an (Associate) Credit Risk Model Officers (*). This is a full time position at grade 4/5.
The term of this contract will be 4 years.
Panel interviews are anticipated for May 2020
The EIB offers fixed-term contracts of up to a maximum of 6 years, according to business needs, with a possibility to convert to a permanent contract, subject to organisational requirements and individual performance.
(*) internal benchmark: (Associate) Credit Risk Management Officer
Perform model development/implementation, model changes, model performance monitoring and process oversight of internal models for credit risk parameters. These activities keep the Bank at the forefront of market and regulatory developments in quantitative credit risk modelling/assessment and comply with the requirements of a credit risk control function. The credit risk models cover the areas of capital calculation, pricing, macroeconomic stress testing, economic capital and IFRS9 impairment calculation.
The Division has 2 Units, which collaborate closely: Model Development Unit (MDU) and Model Maintenance and Monitoring Unit (MMU).
Reporting to the respective Head of Unit, you will have contact with a range of colleagues, via workshops, emails, phone calls, one-to-one meetings:
• the model users (in other RM teams, and also in front office lending, transaction portfolio monitoring, Finance, and Financial Control) to support them, ensure correct use of the models and retrieve regular feedback on the model's behaviour
• other modellers (e.g. in the Economics Department and at the EIF) that provide input to certain models owned by IM or develop similar models
• model validators (in RM and Internal Audit) to support and consult them during the validation exercise
• IT to ensure robust implementation and integration of the internal model's in EIB's IT systems
• other subject matter experts (in RM, Legal and the technical Projects Directorate) to get their input and opinion on specific topics.
You will also interact externally with external auditors and/or consultants.
Depending on the Unit you will be working for, you will engage in one or more of the following core activities, typically in a collaborative capacity:
• Develop and improve the internal PD, LGD and EAD/CCF credit risk models in accordance with internal standards and best banking practices
• Develop and improve the macro-economic stress testing and IFRS9 models for credit risk parameters
• Undertake data preparation, data analysis, coding, testing and documentation related activities throughout the model development process working closely with colleagues in the same or similar development projects
• Challenge existing model assumptions, standards, framework, design, methodologies and calibrations, propose changes for improvement and be able to implement those changes in a timely manner as and when needed
• Update, roll-out and execute the annual model performance exercise of the credit risk parameters models
• Implement, roll-out and execute the process oversight activities (e.g. Key Oversight Indicators, UseTest) to ensure the soundness of all processes of the rating systems interacting the credit risk parameter models
• Enhance and execute the data extraction process to deliver default and loss information to the Global Emerging Markets (GEMs) data consortium and represent EIB at the biannual GEMs meetings
• Define and update the policies and procedures that define the activities of the Unit and Division to ensure adherence with overarching internal standards (e.g. Model Risk Management) and best banking practices
• Support the management team in the coordination of the Division's workplan, from managing the relation with the other lines of defence (e.g. validation and audit) to tracking of internal, external and self-identified findings
• Regularly interface with colleagues, model stakeholders/users, independent validation and internal or external auditors to discuss findings and potential model improvements
• Work on / coordinate related implementation projects with IT when needed
• Monitor and interpret recent developments in banking regulation (e.g. EBA's Single Rulebook, ECB's guide on internal models, IFRS 9 standard etc.) and directly contribute to EIB's efforts to maintain full compliance with best banking practices applicable to Bank including internal policies and governance papers
• Contribute to the development and improvement of IT systems and working tools in the area of internal risk models in line with the overall risk strategy.
• University degree, preferably with a quantitative focus, such as Mathematics, Statistics, Finance, Science or Engineering. PhD and other post-graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
• At least 3 years of highly relevant professional experience in a credit risk model development and/or validation role in an A-IRB bank, national regulator or consultancy provider
• Detailed knowledge of EBA's Single Rulebook, ECB's TRIM guide, the Basel Framework and the IFRS 9 standard are considered an asset
• Experience working with large data sets and solid IT background (SQL (Oracle, Sybase), Python, R, VBA, SAS)
• Familiarity with specialized software and data sources as related to credit risk modelling (e.g. Moody's DRD, Moody's RiskCalcTM LGD, Kamakura, S&P Capital IQ, BvD Orbis) is considered an asset
• Knowledge of downstream processes (regulatory and economic capital computations, loan pricing, provisioning) is considered an asset
• Excellent knowledge of English and/or French and a good command of the other (*). Knowledge of other European Union languages would be an advantage.
• Achievement Drive: Continually keeps an eye on performance, focusing on improving it, showing drive and determination to meet short and long-term goals.
• Change Orientation: Adapts to differences and changes in the environment; takes a flexible approach to reach outcomes.
• Collaboration: Works cooperatively as part of a team; works collaboratively with peers across organisational boundaries based on a genuine interest in and an accurate understanding of others and their individual perspectives and concerns.
• Organisational Commitment: Is willing to commit to an organisation whose mission is to support Europe and is open to diversity, and to align her/his own behaviour with the organisation's needs and intrinsic values, acting with integrity in ways that promote the organisation's mission, policies and rules.
(*) There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in French. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of French and accept that their future career in the EIB may be subject to the attainment of sufficient proficiency in both of the Bank's working languages
We are an equal opportunity employer, who believes that diversity is good for our people and our business. As such, we promote the inclusion of suitably qualified and experienced staff without regard to their gender, age, racial or ethnic origin, religion or beliefs, sexual orientation/identity, or disability (**).
(**) We particularly welcome applications from women and persons with disabilities.
Deadline for applications: 30th April 2020
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