Senior Quantitative Analyst (ERM Team) (M/F) - Luxembourg

Location

Luxembourg | Germany

Job description

Founded in 1856, Banque Internationale à Luxembourg is the oldest multi-business bank in the Grand Duchy. From its foundation, the BIL has always played an active role in the development of the Luxembourg economy. It currently operates in retail, private and corporate banking, as well as on major capital markets. Employing more than 2 000 people, BIL is present in the financial hotspots that are Luxembourg, Switzerland, and China.
As a major player in Luxembourg's finance industry and as a signatory of the UN Principles of Responsible Banking, BIL is committed to handing over a responsible and sustainable bank to future generations.

Your next challenge:

• Implement and monitor the quantitative aspects of BIL group ICAAP and ILAAP processes.
• Deploy a robust Economic Capital framework, covering the material risks of the Bank, and contributing to the Bank's Capital & Liquidity Planning.
• Continuous improvement of the models and documentation.
• Addressing recommendations issued by internal and external stakeholders.
• Ensuring the compliance with the Bank's Data Quality Framework.
• Regular reporting of the ECAP figures and stress tests outcomes as part of the Bank's ICAAP/ILAAP process.
• Provide quantitative expertise to the Risk Management and to other departments of the bank.
• Design models or quantitative tools used by internal stakeholders for business/financial/risk management. The tasks include the development, testing, implementation, documentation of models.
• A list of models managed by the team include: the NMD and Prepayment models for the IRRBB framework, the Financial Haircuts model, the CVA/DVA parameters in the context of IFRS 13, the provisions projection for the ECB Stress Testing exercises, the RAROC tool.
• Provide quantitative advisory.
• Development or Improvement of Stress Test models to forecast BIL Group key risk indicators. It encompasses design, implementation, documentation, and maintenance of the models.

Your skills:

• Expertise in : Mathematics, Statistics, Modelling, Computer Science, Data Analysis, Risk, Finance
• Master or PhD level
• You speak English and French
• Knowledge and/or experience with economic capital (ECAP) modeling, credit or market risk modeling, loss forecasting and/or IRRBB modelling.
• Advanced programming skills in Python
• Familiar with version control systems (Git)
• Knowledge of Dataiku is considered as an advantage
• Strong initiative, self-motivation, and ability to work in teams.
• Eager to learn and an interest in developing a holistic understanding of risk management.
• Able to manage own workload without direct supervision to ensure deadlines are met.
• Ability to understand to and to invest himself on very large spread of topics.
• Excellent verbal, written, and interpersonal communication skills (French and English).
• Experience of 3 years in a similar role

BIL offers a broad range of challenging projects and a huge choice of career paths .We will assist you in finding the one that best meets your skills and expectations. Your personal development is our priority and we greatly encourage you to dive into different business areas for the broadest possible experience.
BIL is firmly of the opinion that diversity & inclusion contribute towards increasing the collective performance of the Bank. We are committed to creating a culture of inclusion that encourages individual development with equal opportunities for all.

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