Senior Quantitative Analyst - IFRS 9- (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.

Mission:

The Senior Quantitative Analyst will be responsible for developing and implementing quantitative models for IFRS 9 compliance, including expected credit loss (ECL) calculations, credit risk modeling, and stress testing methodologies.

The role requires a deep understanding of quantitative finance, regulatory requirements, and the ability to communicate complex concepts to both technical and non-technical stakeholders.

Your next challenge:

Develop, monitor, and maintain quantitative methodologies relating to the estimation of IFRS 9 Expected Credit Losses

• Act as a subject‑matter expert on IFRS 9 modelling topics within the Bank.
• Develop and maintain credit risk quantification models for Low and High Default Portfolios.
• Ensure the models perform as intended through ongoing monitoring and back testing.
• Continuously improve the models and their documentation.
• Collaborate with internal validation, internal audit, and regulatory stakeholders to support reviews and challenges.
• Ensure compliance with supervisory expectations and internal model governance requirements (procedures, standards, and data quality frameworks).
• Contribute to end‑to‑end model lifecycle processes, including implementation testing and model change control.
• Assist in the reporting and analysis of ECL figures as part of the Bank's closing processes with special considerations for novel risks (e.g., climate and geopolitical risks) and management overlays.
• Follow market trends and regulatory updates to ensure that the models are aligned with current requirements and foresee future enhancements.

Provide quantitative expertise to Risk Management and other departments of the bank.

• Design models or quantitative solutions such as impact and sensitivity analyses to assist internal stakeholders with business, risk, regulatory, or financial challenges and support decision‑making within the Bank.
• Contribute to stress‑testing exercises (e.g., ECB Stress Tests, Capital and Liquidity Planning, Recovery Planning, ICAAP) by maintaining and developing quantitative solutions used for forecasting credit risk.
• Participate in the preparation, analysis, and benchmarking of the scenarios used across the Bank.
• Assist in the enhancement of internal scenario generation capabilities.

IFRS 9 models:

• Support the development or improvement of IFRS9 models and methodologies used for the estimation of Expected Credit Losses, including the design, implementation, documentation, and maintenance of the models.

Reporting:

• Contribute to the production of monthly ECL estimations and timely estimation, analysis and communication of management overlays.
• Contribute to external auditors' requests and assist in preparing ECL documentation for the Annual and Semi‑Annual Reports.

Scenario Modelling and Forecasting:

• Contribute to the preparation, analysis, and benchmarking of macro‑economic scenarios used across the Bank for capital planning and risk assessment purposes.
• Support the evolution of internal scenario generation capabilities and the development of global market shock methodologies.
• Support the enhancement of credit risk forecasting methodologies

Your skills:

Education: Master's degree or PhD level in Mathematics, Statistics, Modelling, Computer Science, Data Analysis, Risk, Finance

Experience: min. 3+ years in a similar role

• Knowledge and/or experience with IFRS9 modelling
• Knowledge and/or experience with internal ratings models
• Knowledge and/or experience with Stress-Testing and / or scenario generation

• Strong analytical and problem-solving skills, with the ability to be rigorous and well-organized.
• Excellent communication and interpersonal skills, with the ability to engage and influence stakeholders at all levels. You are fluent in French and English.
• Proficient in risk management tools and technologies. Advanced programming skills in Python. Familiar with version control systems (Git)
• Knowledge of Dataiku is considered as an advantage. Advanced proficiency in MS Excel and SQL.
• Caring: Empathetic and open-minded, fostering a supportive environment for team members and stakeholders.
• Leading: Ability to lead by example and inspire others through a commitment to excellence in risk management.
• Engaging: Passionate about risk management and dedicated to engaging with all levels of the organization.
• Accessible: Approachable and credible, ensuring stakeholders feel comfortable discussing risk-related concerns.

Reliable: Committed to following through on tasks, ensuring thorough documentation and timely reporting of risk issues.

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.