Credit Risk Models Validator (IFRS9 - PD - LGD - EAD)
Credit Risks Models Validator
Our client, an international bank, is currently looking for a senior quantitative credit risks models validator to join their team in Luxembourg. This person will be working within an experimented team. He/she will be in charge of all the tasks relative to the development and implementation of credit risks models validation process.
- Participating to the implementation and maintenance of quantitative models validation process of credit risks (PD, LGD, EAD);
- Providing analytic guidance and carry out scenario analysis;
- Interpreting test results in the context of model applicability;
- Producing and reviewing of backtestings;
- Assuring the annual reporting related to the models;
- Following the guidelines (BASEL III, IFRS9, TRIM, ECB) to ensure that models are compliant with the with the regulatory requirements;
- Maintaining and proposing recommendations to improve models performance in order to be in line with applicable regulations and up-to-date.
Education & Background:
- Master in Mathematics, Statistics, Finance or equivalent;
- At least 7 years of experience in risk modelling and credit risk management within the banking sector;
- Strong knowledge of financial instruments and, in general, of banking products;
- Quantitative and statistical techniques implemented in the modelling and valuation of Credit risks;
- Excellent knowledge of Basel III and IFRS9 frameworks and TRIM regulatory environment;
- MS Office and SAS, Python & Matlab tools;
- Fluent in English. Another European language will be an asset;
- Details oriented and autonomous;
- Excellent analytic, reporting, interpersonal and communication skills.
- The opportunity to work within a multicultural environment;
- The possibility to improve your existing skills and develop your expertise;
- Salary and package (including relocation) linked with your background and performance.
Successful applicants will be contacted within two weeks and we guarantee the confidentiality of your application.
If this opportunity does not correspond to your expectations, do not hesitate to share it with people in your network who could be interested in this position!
Sthree Luxembourg is acting as an Employment Agency in relation to this vacancy.