Expert on Internal Models for the quantification of banking risks (m/f), Luxembourg

Mission

You will be joining the team in charge of the financial risk management topics (of which credit, market, interest rate and liquidity risks) and will participate to the review of internal models for credit and market risk within the banking supervision profession. You will be involved in a broad set of complex tasks and analyses related to banks’ internal models, including on-site inspections. You will also be supporting line supervisors in your area of expertise and represent the CSSF at international fora in relation to internal models.

Role & responsibilities

• Monitor the performance of banks' internal models, with a special focus on the internal ratings-based (IRB) approaches for credit risk
• Assess compliance of internal models with regulatory requirements
• Participate in the design of monitoring tools at national and international level
• Support line supervisors in their supervision and understanding of model-related issues
• Take part in on-site inspections covering internal models
• Participate in European (e.g. European Central Bank (ECB) and European Banking Authority (EBA)) as well as international (e.g. Basel Committee on Banking Supervision) working groups on regulation and policy issues and be involved in the related supervisory exercises (among others the yearly EBA Supervisory Benchmarking exercise and the ECB ongoing model monitoring of validation reports of the supervised entities)
• Please note that this position will require frequent business trips.

Your profile

• Master’s degree (BAC +4/+5) with a strong focus on quantitative approaches (mathematics, statistics, econometrics or finance) and risk management
• At least 3 years of professional experience in the financial sector in relation with risk management or risk modeling
• Knowledge of the regulatory framework (CRR/CRD) is a strong asset
• Knowledge in Business Intelligence tools (e.g., Power BI) and in R programming are considered as an advantage
• Proficiency in written and spoken English and French. Knowledge of German or Luxembourgish will be considered as an advantage
• Excellent writing and analytical skills
• Ability to work autonomously and as part of a team
• Availability for potential missions abroad