Job of the weekWeek 04

(Associate) Credit Risk Model Developer

22-12-2020

The EIB, the European Union’s bank, is seeking to recruit for its Risk Management Directorate (RM) – Regulation and EIB Group Risk Department (REG) – EIB Group Internal Modelling Division (IM) – Model Development Unit (MDU), at its headquarters in Luxembourg, an (Associate) Credit Risk Model Developer (*).  This is a full time position at Grade 4/5.

The term of this contract will be 4 years.

Panel interviews are anticipated for late January 2021

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: (Associate) Officer, Credit Risk Management

Purpose

You will develop, review and enhance internal credit risk models and methodologies that are used for different purposes within the Bank, including regulatory and economic capital calculations, risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, 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 Unit, you will work in close collaboration with the colleagues from the Risk Management Directorate and with internal model users from across the EIB and EIF.  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 OPS, TMR, FI and FC) 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, JU and PJ) to get their input and opinion on specific topics

You will also interact externally with external auditors, consultants and/or vendors.

Accountabilities

  • Develop, review and enhance 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
  • Undertake data preparation, data analysis, coding, testing and documentation related activities throughout the model development process, working closely with colleagues in the same or similar development projects
  • 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, independent validation and (internal or external) auditors to discuss findings and potential model improvements
  • Work on / coordinate related implementation projects with IT when needed
  • Monitor and interpret recent developments in banking regulation (e.g. EBA’s Single Rulebook, ECB’s guide on internal models, IFRS 9 standard etc.) and directly contribute to EIB’s efforts to maintain full compliance with best banking practices applicable to Bank including internal policies and governance papers
  • Contribute to the development and improvement of policies, procedures, support and control systems, IT systems, methodologies and working tools in the area of internal risk models and in line with the overall risk strategy.

Qualifications

  • University degree with quantitative focus, preferably in Mathematics, Statistics, Finance, Science or Engineering. A PhD or other post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
  • At least 3 years of relevant professional experience acquired in a credit risk model development and/or validation role in an A-IRB bank, national regulator or consultancy provider.  Specifically, credit risk modelling experience in relation to low-default portfolios will be valuable
  • Detailed knowledge of EBA’s Single Rulebook, ECB’s TRIM guide, the Basel Framework and the IFRS 9 standard are considered an asset
  • Experience in working with credit risk related data and relevant IT skills (Python, SQL (Oracle, Sybase), R, SAS, VBA)
  • Familiarity with specialised software and data sources as related to credit risk modelling (e.g. Moody’s DRD, Moody’s Financial Metrics, 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.

Competencies

Find out more about EIB core competencies here

(*) 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:  4th January 2021


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