Credit Risk

Location
Luxembourg (LU)
Salary
€100,000 - 125,000
Posted
29 Aug 2019
Closes
28 Sep 2019
Contract Type
Contract, Permanent
Hours
Full Time
Travel
None

One of the largest Banks in Luxembourg is looking to add to their Risk Control team.

Objective

Strengthen the Bank’s Credit Risk Control team on the following topics:

● Development and maintenance of IFRS 9 and pillar II Credit risk models

● Design and implementation of Credit risk stress testing

● Definition of a framework to assess credit risk concentration risks Assignments

● Review and enhance the Banks’s IFRS 9 and pillar 2 credit risk models

● Design and Implementation of internal stress testing scenarios ● Implementation of regulatory stress tests (EBA stress test)

● Global credit risk assessment via dedicated reports and metrics

● Analysis and implementation of new regulatory requirements (e.g. Definition of default)

● Development of methodologies to define and/or challenge credit risk limits

Requirements

● University degree in mathematics /statistics or finance ● Banking experience of at least 20 years

● Good knowledge of credit risk modelling techniques and regulatory requirements

● Highly developed analytical skills and capacity for synthesis

● Team-player, with a high degree of autonomy in the performance of assigned tasks

● In-depth knowledge of quantitative / statistical techniques used in credit risk modelling and stress testing

● Knowledge of data management software and techniques (e.g. SQL or SAS)

● Fluent in English (French being an advantage), both in speech and writing