The EIB, the European Union's bank is seeking to recruit for its Risk Management Directorate (RM) - Regulation & EIB Group Risk Department (REG) -EIB Group Internal Modelling Division (IM), at its headquarters in Luxembourg:
(Junior) Credit Risk Officers – Internal Credit Rating Models Development and Review
This is a full-time position
The term of this contract will be 4 years
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.
The primary role of the successful candidate is to take direct responsibility for the development, testing, implementation, monitoring, maintenance and upgrading of internal credit risk models used for capital calculation, pricing, macroeconomic stress testing, economic capital and IFRS9. The scope of the work includes all major credit risk parameters (PD, LGD and EaD/CCF). S/he will be responsible for the delivery of specific projects linked to the fulfillment of the objectives of the Internal Modelling Division in one of its two units (Model Development Unit and Model Maintenance and Monitoring Unit) and for the interaction with various stakeholders across the EIB, independent validation team and for presentation of work to EIB's senior management and various internal governance bodies.
The (Junior) Credit Risk Officer will work alongside risk experts from across the EU. Under the supervision of the respective Head of Unit, the (Junior) Credit Risk Officer will work in close collaboration with the colleagues from the Risk Management Directorate and internal model users from across the EIB and EIF (European Investment Fund). S/he will have regular contacts with internal/external auditors, EIB's Validation Division and is expected to source and supervise external resources as and when required.
- Carry out development, improvement, (back-) testing, monitoring and annual validation of internal PD, LGD and EAD/CCF credit risk models in accordance with internal standards and best banking practices.
- Carry out development and/or improvement of macro-economic stress testing and IFRS9 models.
- Challenge existing model assumptions, standards, framework and methodologies, propose changes for improvement and be able to implement those changes in a timely manner as and when needed.
- Develop and deliver regular model performance monitoring document(s) as part of EIB's risk management framework and in accordance to regulatory standards.
- Regularly interface with colleagues and independent validation to discuss findings and potential model improvements.
- Regularly interface with model stakeholders to ensure proper use and to collect model monitoring data as required
- Directly contribute to EIB's efforts to maintain full compliance with the CRD IV regulatory framework, A-IRB requirements, IFRS9 standards as well as various Basel Committee and European Banking Authority guidelines and recommendations.
- Conduct statistical analysis of external and internal default, recovery and credit exposure data.
- Coordinate related projects, in conjunction with the Bank's Model Validation Unit and IT when appropriate.
- Monitor and interpret recent developments in best practice and regulation and directly contribute to their implementation.
- University degree with quantitative focus preferably in Mathematics, Statistics, Economics, Finance, Science or Engineering. 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 acquired in a model development and/or validation role in an A-IRB bank, national regulator or consultancy provider.
- Detailed knowledge of the Basel II/III and CRD IV regulatory framework and recent regulatory developments (e.g. EBA guidelines, BIS papers).
- Experience working with large data sets and solid IT background (knowledge of SQL would be an advantage).
Familiarity with a variety of mathematical/statistical software (e.g. R, SAS, VBA) as related to credit risk modelling.
- Excellent knowledge of English and/or French(*) and a good command of the other.
- 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 believe that Diversity is good for our people and our business. We promote and value diversity and inclusion among our staff and candidates; irrespective of their gender, age, nationality, race, culture, education and experience, religious beliefs, sexual orientation or disability