Risk Modelling Analyst

Dexia

Brussels, Belgium

Job description

Among the main responsibilities of RMQD are:

Developing, backtesting and stresstesting of quantitative credit risk models (e.g. probability of default), in the context of IFRS 9 provisioning and for internal risk assessment, for all asset classes in the Dexia portfolio;
The annual production of the internal capital assessment (ICAAP) covering all risk types. Full production of the credit risk assessment via portfolio risk models. Transversal responsibility with other teams to collect input for other risk types (market risk, operational risk, climate risk, …) and to integrate all risks in the final overall risk assessment;
Developing and backtesting of models translating forward looking macro-economic scenarios into credit risk impacts;
Strategic planning and capital projection under different scenarios for the full Dexia portfolio, taking into account economic and regulatory constraints, and considering specific risks at portfolio level such as correlation and concentration risk.

The position involves state-of-the-art modelling and data science for active risk management. This is a perfect first experience in quantitative risk management, in a multicultural environment within a highly motivated team.

Profile

University degree with a strong quantitative orientation (mathematics, commercial engineering, physics, statistics, data science);
Strong programming skills are required;
Profound knowledge of English and French are required;
Experience in Financial Mathematics, Risk & Financial Engineering is a plus but not a requirement;
Specialization: Finance, Mathematics, Physics;
Spoken languages: French, English;
Level of study: Bac+5 and more;
Degree: MASTER 2, MBA.

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