Market Risk Analyst (M/F)

Founded in 1856, Banque Internationale à Luxembourg is the oldest multi-business bank in the Grand Duchy. From its foundation, the BIL has always played an active role in the development of the Luxembourg economy. It currently operates in retail, private and corporate banking, as well as on major capital markets. Employing more than 2 000 people, BIL is present in the financial hotspots that are Luxembourg, Switzerland, and China.
As a major player in Luxembourg's finance industry and as a signatory of the UN Principles of Responsible Banking, BIL is committed to handing over a responsible and sustainable bank to future generations.

As 2nd line of defence, the Market and Liquidity Risk Management department supervises and independently organises the assessment, the monitoring and the reporting of the market and liquidity risks undertaken by the Bank. In addition, the department is in charge of the management of the dealing room front office tools (Kondor+ and Bloomberg).

The balance sheet management and client flow management activities are under the supervision of the department. Within this framework, the Market Risk Analyst is responsible for:

• Monitoring the market risk metrics within the defined limits.
  
• Computing and analysing the fair values and the P&L generated by the flow management activities (especially BIL Structured Products, Warrants and Foreign Exchange).
  
• Maintaining the internal market risk environment in line with the regulatory landscape.

Your next challenge:

• Daily reporting of the market risk exposures (e.g. sensitivities, VaR and stress tests) and analytical profit and loss to the senior management.
  
• Identify, investigate and document a wide range of market risk issues, including limit excesses and remediations or metrics calibrations.
  
• As part of the monthly accounting process, control fair values and hedge relationships.
  
• Take part in the overall risk reporting process, including SREP, ICAAP and Pillar 3 contributions.
  
• Provide ad-hoc analyses and simulations to support and challenge the 1st line of defence or to address Internal Audit, Internal Validation or regulatory requirements.
  
• Develop solutions and processes to monitor and challenge the derivatives and structured products valuations.
  
• Support the technical/functional testing and analyses required for the implementation of new projects, new products or a new reporting.
  
• Enhance and improve processes in the context of the market risk monitoring.

Your skills:

• Education (level): master's degree in finance, economics or mathematics.
  
• Languages: fluent in French & English
• Very good understanding of financial products, including plain vanilla derivatives.
  
• Good knowledge of valuation techniques.
  
• Good knowledge of regulatory standards pertaining to market and counterparty risks.
  
• Accounting knowledge is an advantage.
  
• Knowledge of IRRBB framework (measures, methodologies, regulatory reporting…) is also an advantage.
• Advanced proficiency in MS Excel and VBA/SQL.
  
• Knowledge of Kondor+, RiskMetrics, Bloomberg, T24, Moody's Risk Confidence and Dataïku is an advantage.
• Propensity for teamwork and natural willingness to support the stakeholders within the team.
  
• Rigorous, innovative and curious.
  
• Result-oriented mindset striving to deliver on time.
  
• Ability to handle multiple tasks and prioritize accordingly.
  

BIL offers a broad range of challenging projects and a huge choice of career paths .We will assist you in finding the one that best meets your skills and expectations. Your personal development is our priority and we greatly encourage you to dive into different business areas for the broadest possible experience.
BIL is firmly of the opinion that diversity & inclusion contribute towards increasing the collective performance of the Bank. We are committed to creating a culture of inclusion that encourages individual development with equal opportunities for all.

NB: The selected candidate will be asked to provide an extract from the criminal record (no.3) as evidence of integrity and justified with regard to the specific needs of the position to be filled. Other documents will be collected, to the extent legally permitted, to perform background checks.