Inspector Banking Risks – On-site Inspection (2-year fixed term contract) (m/f)

Mission

The Banking Risks division within the On-site Inspection department is responsible for conducting inspections covering key banking risk areas, including credit risk, operational risk, ICAAP, Pillar 1, interest rate risk in the banking book (IRRBB).

In this role, you will contribute to inspections for credit institutions both in Luxembourg and abroad as a team member and, depending on your level of experience, may act as Head of Mission.

Role & responsibilities

• Conduct on-site inspections for both significant and less significant institutions, with involvement across all phases of the inspection lifecycle:
• Preparation phase: planning of the inspection, definition of the inspection scope and programme, and initial interactions with the institution
• Investigation phase: organisation of kick-off meetings, conduct of interviews, analysis of processes, and execution of file reviews and case-by-case assessments
• Reporting phase: preparation of working papers, drafting of the inspection report and observations letter, and presentation of observations to the inspected institution
• When acting as Head of Mission, assume overall responsibility for the inspection, including timeline management, task allocation, team coordination, and review of deliverables
• Collaborate with subject-matter experts within institutions, the central on-site supervision teams of the ECB, and off-site supervisory teams
• Contribute, where relevant, to working groups involved in the development or enhancement of supervisory methodologies

Please note that this position will require frequent business trips.

Your profile

• Master’s degree (Bac +5) in Mathematics, Statistics, Financial Mathematics, Economics, Finance, or Accounting
• At least 3 years of professional experience in one or more of the following areas:
• Credit risk management (including IFRS 9 ECL and staging modelling) ;
• ICAAP, particularly regarding the quantification of the economic perspective ;
• Pillar 1 IRB credit risk modelling ;
• IRRBB, with a focus on modelling aspects (e.g. non-maturity deposits).
• Advanced knowledge of mathematics and/or statistics, combined with proficiency in programming tools (e.g. Python or R), would be considered a strong asset
• Sound knowledge of the banking regulatory framework, including CRR, IFRS 9, and relevant technical standards and guidelines (e.g. EBA, BCBS)
• Proficiency in French and English, both written and spoken; knowledge of German or Luxembourgish is considered an asset
• Excellent analytical, drafting, synthesis, and communication skills
• Ability to work both autonomously and within an international team environment
• Strong critical thinking, attention to detail, and organisational skills
• High level of discretion and adherence to confidentiality requirements
• For Head of Mission roles: demonstrated ability to manage and coordinate inspection teams
• Willingness and availability to undertake extended assignments abroad (typically up to two consecutive months)