Head of EIB Group Internal Modelling
The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C) – Regulation and EIB Group Risk Department (GREG), at its headquarters in Luxembourg, a Head of EIB Group Internal Modelling (IM) Division. This is a full-time position at grade 7.
The Internal Modelling Division is responsible for the design, development, implementation, maintenance, monitoring and oversight of the Bank’s (or Group’s, as applicable) rating systems, and for ensuring full compliance, in this domain, with the CRR, CRD, BRRD regulatory framework, IFRS9 standards as well as various Basel Committee and European Banking Authority guidelines, technical standards and recommendations. This comprises the rating/PD models, LGD models, EAD/CCF models, both TtC, DT and PiT, used in regulatory and economic capital calculations, and for risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, including maintenance of the Credit Risk Control Function’s (CRCF) model governance framework.
As Head of Division, you will lead, motivate and manage the staff of the Internal Modelling Division, to ensure the appropriate development, maintenance and application of quantitative risk models and solutions in the domain of credit risk in order to safeguard the risk profile of the EIB.
Reporting to the Director of the GREG Department, you will cooperate closely with colleagues and model owners in GR&C and with counterparts in other Directorates/Departments of the EIB Group, in particular with Front Office lending, Transaction Management & Restructuring, Financial Control, the Economics Department, and IT, as well as with the European Investment Fund (EIF). Externally, you will interact with peer institutions as well as consultancy and audit firms on credit risk parameter models matters, and you may also be in contact with IT software vendors and data providers.
You will supervise directly two Heads of Unit.
- Plan, organise and manage the resources and means necessary for the implementation of the Division’s activities
- Set clear objectives, provide feedback and evaluate the performance of direct reports while ensuring consistency of objective setting and performance evaluation across the Division
- Lead and motivate staff, ensuring that the Division has adequate competences and skills to implement the formulated strategy and deliver results
- Ensure an effective cooperation among team members and strengthen cooperation across RM and the EIB Group with a view towards knowledge sharing across Divisions, avoiding overlaps and contributing to an effective implementation of key processes
- Build, implement and maintain a strong framework to cover IM’s responsibilities and their implications on GR&C risk positions and policies. Contribute to the development and maintenance of an overall risk strategy
- Supervise and redesign the activities of the Division
- Develop and maintain the processes, policies, procedures, methodologies, reports, internal controls and technical tools establishing the CRCF and ensure their proper implementation and application, in line with the Group Risk Management Charter, the Bank’s Model Risk Management Policy and regulatory requirements
- Ensure the development, maintenance, monitoring, application and oversight of the Bank’s IRB models, IFRS9 and ST models
- Engage in longer-term (IT) systems design and development aimed at keeping the EIB Group at the forefront of market and regulatory developments in quantitative risk modelling
- Supervise the Division’s activities and responsibilities related to its role of the secretariat of the Internal Rating Model Management Committee
- Support the Director of GR&C/GREG in relations with the EIB’s Management Committee and other Directorates on all matters related to credit risk parameter models
- Ensure close interaction with model users across the EIB Group, and with the Validation, the Model Risk Management and Internal/External Audit functions
- Ensure timely follow up of Internal/External Audit Agreed Action Plans, recommendations of the Validation function and findings from the regular monitoring exercises
- Ensure compliance with EIB Group internal policies (e.g. EUC policy), frameworks (e.g. Internal Control Framework) and maintenance of bank-wide inventories relevant for the Division (e.g. model inventory, critical report inventory)
- Ensure timely data submission to the Global Emerging Markets (GEMs) data consortium, participate in the respective annual meetings and contribute to working groups organised by GEMs
- Provide advice and recommendations on complex credit risk issues and related policies for effective risk management, aligning the EIB Group with Best Banking Practices
- Lead or participate in special initiatives that can go beyond the strict boundaries of the IM domain
- Represent the EIB Group at seminars and conferences and represent IM at the regular meetings of committees as well as in procedure/policy working groups and steering committees related to IM activities.
- Masters level university degree, typically in a quantitative discipline (such as Maths, Physics, Economics or Quantitative Finance). Further higher level studies/qualifications (such as a PhD) in a relevant subject would be an advantage
- A minimum of 10 years of relevant professional experience, including hands-on experience in the field of quantitative credit risk modelling
- Sound knowledge of relevant regulatory requirements, in particular in relation to credit risk and IRB models
- Demonstrable experience in/deep understanding of all aspects of applicable risk management frameworks, policies and procedures
- Experience in managing and coaching people ideally in multicultural environments or international organisations (e.g. contribution to: determining team resources and skills; establishing objectives; assessing performance; delegating and supervising tasks; guiding, motivating, mentoring and providing feedback)
- Solid understanding of the EIB’s mission, policies, procedures, organisation and activities
- Fluency in English and/or French with a good command of the other (*). Knowledge of other EU languages will be an advantage.
Find out more about EIB Group core and managerial competencies via the 'Apply' button.
(*) 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(**).
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: 20th October 2021. Candidates will receive an initial feedback end October/early November.
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.
(**)We particularly welcome applications from women and persons with disabilities.
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