(Senior) Risk Management Officer - Model Validation

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Functieomschrijving

 

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate (RM) – Regulation and EIB Group Risk Department – EIB Group Model Validation Division, at its headquarters in Luxembourg, a (Senior) Risk Management Officer – Model Validation. This is a full time position at grade 5/6.

The term of this contract will be 4 years.

Panel interviews are anticipated for the second half of November 2019

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.

Purpose
The Model Validation Division’s role is to bring the development of valuation and risk analysis models into a structured process for independent review, testing, approval and documentation. The Division is tasked to:

 

  • identify and track all models within the Risk Management Directorate
  • independently validate models and their implementations
  • assess the model risks, appropriateness for the purpose used, and the general approach for each model.


As a (Senior) Risk Management Officer in the Division you will test, review and validate the models used within the Risk Management Directorate in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment

Operating Network
Reporting to the Head of the Model Validation Division, you will work in close collaboration with a team of validation officers. You will also interacts regularly with other risk management officers, in particular those responsible for credit risk modelling, risk analysis, ALM and valuation, as well as with colleagues in other Directorates, such as front office lending and loan portfolio management and restructuring. Externally, you will have contact with internal and external Audit Committees and regulatory bodies

Accountabilities

• Validate various models built to assess and quantify a wide range of risks (credit risk models, IRRBB, liquidity, stress testing, fund transfer pricing etc.)
• Execute validation programs that include

 

  • Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated
  • Tracking the resolution of findings with model owners and users
  • Employ technical expertise and analytic acumen to provide high quality deliverables in a fast paced risk management environment
  • Examine the conceptual soundness of models being validated. Review and effectively challenge the underlying assumptions, theory, empirical evidence, limitations of the model being validated
  • Write model validation reports documenting the results of the model validation, including observations and findings, and recommending remedial action plans. Produce reports to track validation status and results for management and internal and external auditors

• Interface with model stakeholders throughout validation process, external and internal audit to discuss justification and reasoning behind validation findings
• Work with all teams across the Risk Management Directorate to develop and maintain an inventory of all models used
• Directly contribute to the Bank’s efforts to maintain full compliance with the Basel II/III regulatory framework in the area of model validation
• Participate in the Bank’s efforts to ensure ongoing compliance with its framework of best banking practice in the area of risk management.

Qualifications

 

 

  • University degree, ideally at post-graduate level, and preferably in Mathematics, Quantitative Finance, Statistics or a similar field. Professional qualifications, such as PRMIA or GARP certificates, would be an advantage
  • At least 5 years of relevant professional experience with extensive experience in credit risk modelling, including very good knowledge and in-depth experience in the areas of IRB model development and/or validation, including PD, LGD and CCF
  • Experience with Pillar 2 models (economic capital, stress testing) would be a plus
  • Knowledge of BCBS regulations and best banking practice in the above fields
  • Quantitative modelling in Liquidity, ALM, Interest Rate Risk in the Banking Book would be an asset
  • Experience in working with regulators, auditors, and compliance will be considered as an advantage
  • Strong critical thinking skills to provide effective challenge to models developed internally and by vendors.
  • Demonstrated ability to produce clear and concise written work
  • Ability to work effectively in a high pressure, fast paced environment with multiple deadlines and competing priorities
  • Expertise in Matlab, SAS, C++ and/or C#
  • Excellent knowledge of English, with a good command of French (*). Knowledge of other European Union languages would be an advantage.


Competencies

 

 

  • 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: 23rd October 2019

Interested?
Respond via the "Apply" button.

No recruitment agencies please.

 

 


Vergelijkbare zoekopdrachten: WO, Fulltime, Bepaalde tijd, Belasting, 5-10 jaar, Banken, Internationaal, Risk Manager