(Senior) Officer - Internal Credit Rating Model Maintenance and Monitoring
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 Maintenance & Monitoring Unit (MMU), at its headquarters in Luxembourg, a (Senior) Officer - Internal Credit Rating Model Maintenance and Monitoring (*). This is a full time position at grade 5/6.
The term of this contract will be 4 years.
Panel interviews are anticipated for mid/end May 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: (Senior) Credit Risk Management Officer
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 including maintenance of the Credit Risk Control Function’s model governance framework. Thus, EIB is able to maintain full compliance with the CRD IV regulatory framework, A-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 the review, testing, implementation, monitoring, maintenance and upgrade of the internal models for credit risk parameter models, in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment.
Reporting to the Head of the MMU Unit, you will work in close collaboration with colleagues from across the Risk Management Directorate and with other colleagues from across the EIB and EIF, as below. Externally, you will have regular contact with external auditors, and you will be expected to source and supervise external resources, as and when required. You can also expect contact with other external counterparts, such as the European Commission, and members of the MDB/DFI community as part of the GEMs consortium.
Via workshops, emails, phone calls, one-to-one meetings, you will have contact with
- the model users (in Risk Management, Front Office Lending and Portfolio Management, Funding and Financial Control) to support them, ensure correct use of the models and retrieve regular feedback on the model’s behaviour
- other modellers (in the Economics Department and at the European Investment Fund -EIF) that provide input to certain models owned by IM or develop similar models
- model validators (in RM’s Validation team 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, the Projects Directorate and Legal) to get their input and opinion on specific topics.
- Lead the review, improvement, (back-)testing, monitoring, oversight and annual validation of internal PD, LGD and EAD/CCF credit risk models for the various use areas (e.g. RCAP, ECAP, IFRS9, MEST etc.) in accordance with internal standards and best banking practices, to fulfil the role and responsibilities underlying the Credit Risk Control Function (CRCF)
- Challenge existing model assumptions, standards, framework and methodologies, propose changes for improvement and be able to implement those changes in a timely manner as and when needed
- Develop and deliver regular model performance monitoring document(s) as part of EIB’s risk management framework and in accordance to regulatory standards
- Directly contribute to EIB’s efforts to maintain full compliance with the CRD IV regulatory framework, A-IRB requirements, IFRS9 standards as well as various Basel Committee and European Banking Authority guidelines and recommendations
- Conduct statistical analysis of external and internal default, recovery and credit exposure data
- Coordinate related projects, in conjunction with the Bank’s Model Validation Division and IT when appropriate
- Define and update the 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 management team in the coordination of the Division’s work plan, from managing the relation 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 to develop relationships and raise awareness of the Division’s activities, thereby facilitating the execution of the work plan
- 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 preferably in Mathematics, Statistics, Economics, Finance, Science or Engineering. Post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
- At least 5 years of relevant professional experience, at Officer level, acquired in a model development and/or validation role 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, but also R, SAS, VBA as related to credit 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 and a good command of the other (*). Knowledge of other European Union languages would be an advantage
Find out more about EIB core 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 (*).
(*) 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: 21st May 2021
Apply now via the "Apply" button.
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