Expert Credit Risk Modeler
Banque Internationale à Luxembourg is the oldest multi-business bank in the Grand Duchy of Luxembourg. With a rich history dating back to 1856, BIL has played an active role in the development of the Luxembourg economy.
Job Overview
We are seeking a highly skilled Expert Credit Risk Modeler to join our team. As a key member of our organization, you will be responsible for developing and maintaining credit risk quantification models, aligned with IFRS9 Expected Credit Loss (ECL) requirements.
Key Responsibilities
* Develop and maintain credit risk quantification models, in alignment with IFRS9 ECL requirements
* Design, implement, document, and maintain the models
* Assist in the production of modelled ECLs and overlays
* Provide analyses to different departments within the Bank
* Provide input to key reports
* Conduct credit risk stress testing for the Internal Capital Adequacy Assessment Process (ICAAP) and participate in the EU-wide Stress Testing (EBA) initiatives
* Develop and improve Stress Testing models used to forecast BIL Group key risk indicators
* Perform comprehensive macroeconomic analyses to support the stress testing and projection processes within the Bank
* Assist in designing custom scenarios used for a wide range of purposes (e.g., ESG, Recovery Plan, Capital Plan)
* Evaluate and ensure compliance with internal and external requirements
Requirements
* Mastery's degree in mathematics/actuarial science/finance/statistics/economics
* PhD in relevant field (desired)
* Advanced knowledge of financial instruments and banking products
* Advanced programming skills in Python
* Familiarity with version control systems (Git)
* Knowledge of Dataiku (advantageous)
* Advanced proficiency in MS Excel and SQL
* Excellent analytical, problem-solving, and communication skills
* Minimum 5 years of experience in a similar role
About You
You are a highly motivated and experienced expert with a passion for credit risk modeling and analysis. You have excellent technical skills, including advanced programming skills in Python and expertise in financial modeling and analysis. You are also an effective communicator and collaborator, able to work independently and as part of a multidisciplinary team.