Expert for the quantification of banking risks and for internal models (m/f)

Mission

You will be joining the team in charge of financial risk management topics. You will participate in the review of banking risks and internal models for credit and market risk within the banking supervision profession. You will be involved in a broad set of tasks and analyses related to banks’ risk and their internal models, including on-site inspections. You will also be supporting line supervisors in your area of expertise and represent the CSSF at international fora in relation to banking risks and internal models.

Role & responsibilities

• Monitor the banks' internal credit risk models and market risk
• Assess compliance of internal models with regulatory requirements
• Participate in the design of monitoring tools at national and international level
• Support line supervisors in their supervision and understanding of model-related issues
• Take part in on-site inspections covering internal models
• Participate in European (e.g. European Central Bank (ECB) and European Banking Authority (EBA)) as well as international (e.g. Basel Committee on Banking Supervision) working groups on regulation and policy issues and be involved in the related supervisory exercises (among others the yearly EBA Supervisory Benchmarking exercise and the ECB ongoing model monitoring of validation reports of the supervised entities)

Your profile

• Master’s degree (BAC +4/+5) with a strong focus on quantitative approaches (mathematics, statistics, econometrics, economics or finance) and risk management
• At least 3 years of professional experience in the financial sector in relation with risk management or risk modeling
• Knowledge of the regulatory framework (CRR/CRD) is a strong asset
• Knowledge in Business Intelligence tools (e.g. Power BI) and in R programming. VBA is considered an advantage
• Very good knowledge of English, French, German and/or Luxembourgish
• Excellent writing and analytical skills
• Ability to work autonomously and as part of a team
• Availability for potential missions abroad

The successful candidate (m/f) will be hired as public employee (“employé de l’Etat”) under a permanent contract. If the candidate meets the required conditions, s/he will be asked to apply for admission to the status of civil servant (“fonctionnaire de l’Etat”).

Prior to the conclusion of the contract, the candidate must submit an extract from the criminal record (bulletin n°3), dated less than 2 months, in order to prove their conduct and integrity.