(Senior) Officers – Internal Credit Risk Models Maintenance and Monitoring

EIB, the European Union's bank

The EIB, the European Union’s bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Regulation & EIB Group Risk Department (GREG) – EIB Group Internal Modelling Division (IM) – Model Maintenance & Monitoring Unit (MMU), at its headquarters in Luxembourg, 2 (Senior) Officers – Internal Credit Risk Models Maintenance and Monitoring (*). These are full time positions at grade 5/6.

Panel interviews are anticipated for end of November, beginning of December 2022. 

The term of these contracts will be 4 years

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.

(*) Internally referred to as: (Senior) Officer Credit Risk Management

Purpose

Lead modelling projects and activities around the credit risk parameters in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment and comply with the requirements of a credit risk control function.

Specific Post Environment

The Unit oversees the performance of 1st line of defence activities to ensure the ongoing robustness of the Bank’s rating systems and models (rating and/or PD models, LGD models, EAD/CCF models, both Through-the-Cycle and Point-in-Time). These models are used for instance in regulatory and economic capital calculation, risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, so that the EIB maintains full compliance with the CRR / CRD regulatory framework, Advanced IRB requirements, IFRS9 standards as well as various Basel Committee and European Banking Authority guidelines and recommendations.

Operating Network

Reporting to the Head of the MMU Unit, you will work in close collaboration with the colleagues from the Group Risk & Compliance Directorate and internal model users from across the EIB and EIF. You will have regular contact with internal/external auditors, other internal control functions (such as the EIB Group Validation Division) and you will be expected to source and supervise external resources as and when required.

Accountabilities

  • Lead the design, coding and testing of scripts for data collection, manipulation, statistical analysis and automatised report generation on a state-of-the-art Python platform and the migration of existing scripts from R, SAS, or VBA to the Python platform
  • Perform model reviews that challenge existing model assumptions, standards, framework, and methodologies, and propose changes for improvement of the credit risk parameters models
  • Improve and deliver the annual model performance monitoring exercise of the credit risk parameter models
  • Improve and execute process oversight activities (e.g. model coverage and use) to ensure the soundness of all rating processes
  • Design and/or update the PD methodologies (e.g. pricing curves, mapping with external rating scales) and LGD models
  • Directly contribute to EIB’s efforts to maintain full compliance with the CRR / CRD regulatory framework, A-IRB requirements, IFRS9 standards as well as various Basel Committee, European Banking Authority and European Central Banks guidelines and recommendations
  • Conduct statistical analysis of external and internal default, recovery, and credit exposure data
  • Represent the EIB at regular meetings of the Global Emerging Markets Risk Database (GEMs) consortium and continuous working groups with other Multilateral Development Banks and Development Finance Institutes
  • Update policies and procedures that define the groupwide activities of the credit risk control function to ensure adherence with overarching internal standards (e.g. Model Risk Management) and best banking practices
  • Support the team in the coordination of the division’s workplan, from liaising 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 (such as model users, other control and/or infrastructure functions and external parties) to develop the relationships and raise awareness of the Division’s activities, thereby facilitating the execution of the workplan
  • 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.

Qualifications

  • University degree, preferably with a quantitative focus, such as Mathematics, Statistics, Data Science, Economics, Finance, Sciences or Engineering. Postgraduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
  • Significant relevant experience, acquired in an A-IRB bank, national bank/supervisor, or consultancy provider, of which at least 5 years a model development and/or monitoring and/or validation role
  • 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 related to risk modelling, with preference for Python or R
  • Detailed knowledge of the Basel II/III and CRR / CRD regulatory framework and recent regulatory developments (e.g. EBA / ECB guidelines, BIS papers) would be an asset
  • Knowledge of downstream processes (regulatory and economic capital computations, loan pricing, provisioning) is considered an advantage
  • Excellent knowledge of English and/or French (*), with a good knowledge of the other.

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 opportunities employer, who believes that diversity is good for our people and our business.  We encourage all suitably qualified and eligible candidates to apply regardless of their gender identity/expression, age, racial, ethnic, and cultural background, religion and beliefs, sexual orientation/identity, disability, or neurodiversity.

Applicants with specific needs are encouraged to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team [email protected] who will ensure that your request is handled.

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: 24th October 2022

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To apply for this job please visit erecruitment.eib.org.


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