(Senior) Quantitative Analyst Integrated Risk Modelling (m/f)
- Brussels, Bruxelles-Capitale, Belgium
- Permanent, Full time
- Belfius Bank- en Verzekeringen
- 26 Sep 16
Belfius is Belgium’s only 100% integrated bank and insurance company. Belfius provides assistance for 3.5 million personal customers, self-employed workers, professionals and SMEs. Belfius is also number 1 in the public and social sector and a leading financial partner for large companies. In the insurance market, Belfius plays an essential role through a range of different channels and brands.
As a committed bank and insurance company, Belfius also aims to be the driving force of the community and the power behind satisfied customers. Belfius staff are the fuel and lubricant that makes this financial engine run smoothly. Which is why Belfius focuses on employing people who are committed, people who enjoy going the extra mile for customers, people who feel involved with the organisation and who want to make a real contribution.
Belfius is looking for a Senior Quantitative Analyst to work as part of the Integrated Risk Modelling Team, which is the quantitative team of the Integrated Risk Management department.
Integrated Risk Management is involved with second-tier risk monitoring regarding ALM, Liquidity & Capital Management. The department provides independent assessments and views of ALM and liquidity risks. Where required, it also develops strategies designed to reduce those risks. With regard to Capital Management, the department keeps a close eye on economic and regulatory capital requirements, monitoring the impact that they may experience in specific stress scenarios (Stress Testing). Integrated Risk Management establishes the framework for Risk Appetite, developing a consolidated overview of all the risks (credit, interest rate, market, operational, business, etc.) facing Belfius and the interdependencies of these risks. The department also proposes strategies for achieving a financial balance (risk capital vs. return vs. liquidity) that is in line with the risk appetite and objectives of Belfius. As a consequence, Integrated Risk Management plays an important role in areas such as capital management, interest rate risk management, risk-based pricing, consolidated risk reporting, stress testing and so on.
Within the department, the Modelling Team is responsible for the quantitative approach: Risk Quantification & Aggregation. As such, the team develops, manages and uses models and tools that quantify these risks as accurately as possible.
- ALM Modelling: the team handles the second-tier challenging and concept of the models (with their parameters and hypotheses) as well as the figures used by Finance. This includes interest models, prepayment models, charging models, savings account and current account models, etc. Where required, alternative or adjusted models are also developed to challenge existing models or to adjust them for risk-related purposes.
- ECAP/EAR modelling & portfolio modelling in general (VaR): the team provides figures for the risks (credit, interest, prepayment, equity, real estate, etc.) by individual risk type and for all risks combined. These figures are also used to determine Raroc and a number of limits.
- Stress Test modelling: the team translates the through-the-cycle characteristics of the portfolio in point-in-time and is responsible for the quantitative approach of the overall stress test mechanisms, particularly for the aspects of credit and securitisation.
- Securitisation modelling: the team is responsible for analysing securities products via a cashflow-based approach: underlying and tranche cashflows are generated based on models that translate macroeconomic scenarios into default, delinquency and prepayment vectors. These techniques are used when Belfius acts as an investor, as well as when Belfius is the originator (mortgage-backed securities, covered bonds).
As senior quantitative analyst in this team and based on your strong quantitative background and after analysing market
practice, academic literature and policy guidelines from the regulators, you will propose ways of improving existing models or developing new ones. You will present and defend these developments to management, colleagues and internal and external
validation teams. You will also play a part in developing tools for putting models to practical use and, ultimately, you will use these tools yourself to calculate, analyse and illustrate relevant risk figures, or help guide others to do so. In addition to these rather long-term developments, you will also provide answers to specific quantitative questions about issues relating to Integrated Risk Management. As a senior analyst, you will help drive certain projects and topics, as well as support and guide the other team members, more specifically in the area of advanced statistical techniques and ALM, ECAP or Stress Test models.
- university degree with strong quantitative elements (mathematics, civil engineering, physics, commercial engineering);
- extensive experience in using advanced statistical techniques and stochastic processes;
- knowledge of ALM and/or ECAP and/or stress test modelling, gained in a similar position in a financial institution (risk management, ALM management, dealing room), or acquired by working on similar subjects in the academic world (master’s thesis, doctorate);
- good knowledge of statistical and mathematical tools (SAS, Matlab, R);
- solid programming skills (Java of C++, Visual Basic) and knowledge of tools for processing large quantities of data (Oracle, SQLserver, Access);
- strong interpersonal and communication skills: the ability to explain complex matters clearly to non-specialists;
- fast learning curve, self-starter, creative and innovative;
- good knowledge of Dutch, French and English.