Risk Modeller

Dexia

Brussels, Belgium

Description

The bank’s credit models take into account the changing economic environment, upcoming risks and banking regulation. You will be involved in several projects in which you are asked to:

  • develop, maintain and test models for credit risk transaction analysis (PD, LGD & EAD: Basel pillar 1 and standard portfolio);
  • model portfolio risk, credit Value-at-Risk for strategic risk decision making and Basel pillar 2 calculations; quantitative decision support for active portfolio management: optimal deleveraging and de-risking;
  • perform periodical recalibration of main parameters of the credit portfolio models;
  • contribute to the implementation, maintenance and application of the IFRS9 expected loss impairment model;
  • participate to the implementation of stress testing tools and analyses;
  • compute and report long-term predictions of key risk measures (a.o. default losses, statistical provisions, risk-weighted assets, ECB liquidity reserve) under different stress scenarios.

The position involves state-of-the-art modelling for active risk management. Relevant criteria for evaluation are the correctness of the development and documentation, business applicability and knowledge of the developed models. You actively participate in the different risk quantification projects on model development & maintenance; and portfolio risk quantification in general.

Qualifications

Education:

  • You hold a University degree with financial quantitative background (business engineer, civil engineer, physicist, mathematician, PhD...).

Experience:

  • 4 years of relevant business or academic experience in data science, risk modeling, statistics. Experience in credit risk is a plus.

Skills:

  • You are expert in statistical software such as Matlab or R, you have knowledge of SQL or other programming languages ( VBA, Java or C++, C#);
  • You have a good knowledge of financial markets and have university/business experience in risk or credit;
  • You have gained a reputation for fast-learning skills, autonomy, team player and strong communicative skills.

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© EuroJobsites 2019

EuroJobsites is a UK registered company number: 4694396 VAT number: GB 880 9055 04

Registered address: EuroJobsites Ltd, Unit 8, Kingsmill Business Park, Kingston Upon Thames, London, KT1 3GZ, United Kingdom

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