3 (Senior) Officers – Internal Credit Rating Model Maintenance and Monitoring
6 days left
- Full Time
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 – Model Maintenance & Monitoring Unit, at its headquarters in Luxembourg, 3 (Senior) Officers – Internal Credit Rating Model Maintenance and Monitoring (*). These are full time positions at grade 5/6.
The Unit is in charge of performing 1st line of defence activities to ensure the robustness of the Bank’s rating systems and models (rating and/or PD models, LGD models, EAD/CCF models, both TtC and PiT). Such models are used, for instance, in regulatory and economic capital calculation, risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, so that the EIB maintains full compliance with the CRR / CRD regulatory framework, Advanced IRB requirements, IFRS9 standards as well as various Basel Committee and European Banking Authority guidelines and recommendations.
As a (Senior) Officer in the team, you will lead a variety of activities related to credit risk parameters, in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment, and comply with the requirements of a credit risk control function.
Reporting to the Head of the MMU Unit, you will work in close collaboration with colleagues from across the Risk Management Directorate and with internal model users across the EIB and EIF. You will also have regular contact with internal/external auditors, and other internal control functions (such as the EIB Group Model Validation function), and will be expected to source and supervise external resources as and when necessary.
- Lead the designing, coding and testing of scripts for data collection, manipulation, statistical analysis and automatised report generation on a state-of-the-art Python platform, and the migration of existing scripts from R, SAS or VBA to the Python platform
- Perform model reviews that challenge existing model assumptions, standards, framework and methodologies, and propose changes for improvement of the credit risk parameters models
- Improve, roll-out and deliver the annual model performance exercise of the credit risk parameter models
- Develop, roll-out and execute process oversight activities (e.g. model coverage and use) to ensure the soundness of all rating processes
- Design and/ or update the PD methodologies (e.g. pricing curves, mapping with external rating scales) and LGD models
- Directly contribute to EIB’s efforts to maintain full compliance with the CRR / CRD regulatory framework, A-IRB requirements, IFRS9 standards as well as various Basel Committee, European Banking Authority and European Central Banks guidelines and recommendations
- Conduct statistical analysis of external and internal default, recovery and credit exposure data
- Represent the EIB at regular meetings of the Global Emerging Markets (GEMs) Consortium, and continuous working groups with other Multilateral Development Banks and Development Finance Institutions
- Update 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 team in the coordination of the Division’s workplan, from liaising with the other lines of defence (e.g. validation and audit) to tracking of internal, external and self-identified findings
- Regularly interface with various stakeholders (such as model users, other control and/or infrastructure functions and external parties) to develop relationships and raise awareness of the Division’s activities, thereby facilitating the execution of the workplan
- Prepare presentations to the various model committees and governing bodies for their decision or information, draft and/or review respective minutes and follow-up on the actions to be taken
- Coach more junior colleagues.
- University degree with quantitative focus. Post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
- Significant professional experience, relevant for the role and acquired 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 in particular Python, R, SAS, VBA as related to risk modelling
- Knowledge of downstream processes (regulatory and economic capital computations, loan pricing, provisioning) is considered an asset
- Excellent knowledge of English and/or French (*), with a good knowledge of the other.
(*) 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.
By applying for this position, you acknowledge the importance of maintaining the security and integrity of the Information of the EIB Group. In case of selection for the position you agree to comply with all measures (policies, controls, document classification and management) implemented by the EIB Group to prevent unauthorised disclosure of any information or any damage to the EIB Group reputation.
Deadline for applications: 26th September 2021. Panel interviews are anticipated for October 2021
The term of the contracts 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.
(*) internal benchmark: (Senior) Credit Risk Management Officer
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