Senior Credit Risk Model Developer
European Investment Bank, Luxembourg
Closing Date for Applications:
You will develop, maintain and upgrade the internal credit risk models used for capital calculation, pricing, macroeconomic stress testing, economic capital and IFRS9 in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment.
Reporting to the 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.
- 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.
- 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.
- Regularly interface with colleagues, model stakeholders/users and independent validation to discuss findings and potential model improvements.
- Coordinate related implementation projects with IT when needed.
- Directly contribute to EIB’s efforts to maintain full compliance with regulatory requirements as laid out in the documents contained in EBA’s Single Rulebook, ECB’s TRIM guide, the Basel Framework, the IFRS 9 standard and other important outside-EU regulatory documents with special focus on credit risk models, A-IRB requirements and model governance.
- University degree with quantitative focus, preferably in Mathematics, Statistics, Finance, Science or Engineering. PhD and/or other post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
- Extensive relevant professional experience in a credit risk model development and/or validation, preferably gained in an A-IRB bank, national regulator or consultancy provider
- Detailed knowledge of the EBA Single Rulebook, the ECB TRIM guide, the Basel Framework and the IFRS 9 standard would be preferred
- Experience working with large data sets and solid IT background (SQL, Oracle, Sybase, SAS, Python, R, Matlab).
- Familiarity with specialised 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
- Excellent knowledge of English and/or French and a good command of the other (*). Knowledge of other European Union languages would be an advantage.