Analyst on Internal Models for the quantification of banking risks (fixed-term contract: 12 months) (m/f)


You will be joining the team in charge of financial risk management topics (of which credit, market, interest rate and liquidity risks) in banks and will participate to the review of internal models for credit and market risk within the banking supervision profession. You will be involved in a broad set of complex tasks and analyses related to banks’ internal models for credit risk, with a focus on off-site supervisory activities.

The position is a closed end assignment for a period of one year.

Role & responsibilities

  • Monitor the performance of banks' internal models, with a special focus on the internal ratings-based (IRB) approaches for credit risk
  • Assess compliance of internal models with regulatory requirements mainly in the context of the off-site ongoing model monitoring activities (among others within the annual European Banking Authority (EBA) Supervisory Benchmarking exercise and the European Central Bank (ECB) model monitoring of validation reports of the supervised entities)
  • Contribute to impact studies in the context of implementing new regulatory frameworks
  • Participate in the design of monitoring tools at national as well as international level
  • As need be:
    • Support on-site inspectors covering internal models through off-site tasks
    • Contribute to the CSSF work in relation to European (e.g. ECB and EBA) as well as international (e.g. Basel Committee on Banking Supervision (BCBS)) working groups on regulation and policy issues and be involved in the related supervisory exercises

Your profile

  • Master’s degree (BAC +4/+5) with a focus on quantitative approaches (mathematics, statistics, econometrics or finance) and risk management
  • A first professional experience in the financial sector in relation to banking risk modeling and/or supervisory activities towards internal models is considered as a significant advantage
  • Knowledge of the regulatory framework (CRR/CRD) is a strong asset
  • Knowledge in Business Intelligence tools (e.g. Power BI) and in R programming are considered as an advantage
  • Proficiency in written and spoken English and French. Knowledge of German or Luxembourgish will be considered as an advantage
  • Excellent writing and analytical skills
  • Ability to work autonomously and as part of a team
  • Availability for potential missions abroad

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