"Risk model" Quantitative Analyst

  • Competitive
  • Brussels, Bruxelles-Capitale, Belgium
  • Permanent, Full time
  • National Bank of Belgium
  • 28 Sep 16

The financial crises of recent decades have shown that the existence of a robust financial system is important for everyone. As the supervisory authority, the National Bank of Belgium helps to identify, analyse and manage risks in the financial system by deploying a dynamic team of acknowledged experts in banking, insurance and finance in general.

Function
You will work in the Internal Model Supervision service, in a team responsible for the analysis and approval of the internal models of banks and insurance companies by means of on-site inspections.

These models are used to assess the risks and to calculate the regulatory or economic capital (market risk, credit risk, operational risk, actuarial life and non-life risks, the risk of natural disasters, etc.) and to assess the balance sheet (derivatives and structured products,  ‘best estimate’ provisions, etc.).

Your job mainly concerns the regulatory approval of the internal models for Basel II/III and Solvency II. The emphasis is on the quantitative aspects of the models. Your inspections cover a large number of financial institutions and you thus develop a broad understanding  of practices in the sector. This enables you to make comparisons between firms (benchmarking), to help to promote “best practices”, and to devise strategy documents.

Finally, you take part in international regulatory work concerning the supervision of internal models.

In the case of bank models you conduct analyses for the purposes of the Single Supervisory Mechanism, possibly in collaboration with international teams.

We offer:

  • a varied job with responsibility, scope for initiative and internal mobility opportunities
  • fascinating and diverse duties in a dynamic inspection team
  • in-service training
  • a good work/life balance
  • an attractive salary package with a range of social benefits.

Profile

  • a master’s degree in civil engineering, physics, mathematics, statistics or actuarial studies or a master’s degree in commercial engineering or economics plus a technical specialism (actuarial studies, statistics, etc.)
  • several years’ experience in financial modelling (e.g. with Basel II/III and Solvency II models) is an advantage
  • a good knowledge of English as well as Dutch and French
  • ability to work independently as well as in a team, in a multidisciplinary, international environment
  • analytical skills, ability to summarise, and good drafting skills
  • ability to explain complex subjects in non-technical language
  • ability to take the initiative
  • a strong sense of ethics and respect for confidentiality.

Program

  • 02/10/2016: closing date for applications
  • Mid-October: interviews
  • End of October: assessments
  • Mid-November: final selection interview.

Applications will only be considered if they are accompanied by a covering letter, a CV and a copy of the diploma(s) and the corresponding annexes (list of ECTS points if available). Foreign diplomas must be accompanied by an attestation of equivalence.