Risk Management Officer – Model validation

  • Competitive
  • Luxembourg
  • Permanent, Full time
  • European Investment Bank
  • 15 Jan 18 2018-01-15

The successful candidate will contribute to the fulfillment of the objectives of the Model Validation Division which is responsible for identifying and tracking all models within the Risk Management Directorate, for independently validating models and their implementations, and for each model assessing the model risks, the appropriateness for the purpose used, and the general approach. The role of this team is to bring the development of valuation and risk analysis models into a structured process for independent review, testing, approval and documentation.

Operating Network

The Risk Management Officer will report to the Head of the Model Validation Division and will work in close collaboration with a team of validation officers. He/she will interact regularly with other risk management officers, in particular those responsible for derivatives modeling, risk analysis and valuation and with colleagues in other Directorates. S/he will also work with internal and external Audit Committees and regulatory bodies.

Accountabilities

  • Validate various models built to assess and quantify counterparty credit risk, market risk, and other complex derivatives valuation and stress testing models
  • Execute validation programs that include:
  1. Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated.
  2. Tracking the resolution of findings with model owners and users.
  3. Employ technical expertise and analytic acumen to provide high quality deliverables in a fast paced risk management environment.
  4. Examine conceptual soundness of models being validated. Review and effectively challenge the underlying assumptions, theory, empirical evidence, limitations of the model being validated.
  5. Write model validation reports documenting the results of the model validation, including observations and findings, and recommending remedial action plans. Produce reports to track validation status and results for management and internal and external auditors.
  • Interface with model stakeholders throughout validation process, external and internal audit to discuss justification and reasoning behind validation findings.
  • Work with all teams across the Risk Management Directorate to develop and maintain an inventory of all models used.
  • Directly contribute to the Bank’s efforts to maintain full compliance with the Basel II/III regulatory framework in the area of model validation.
  • Participate in the Bank’s efforts to ensure on going compliance with its framework of best banking practice in the area of risk management.

Qualifications

  • Post-graduate university degree, preferably in Mathematics, Quantitative Finance and/or Statistics. Professional qualifications, such as PRMIA or GARP certificates, would be an advantage.
  • At least 5 years of relevant professional experience acquired with a major derivatives user, with extensive implication in one or more of the following areas:
  • Credit risk modelling including:
  • Very good knowledge and in-depth experience in the areas of IRB models development and/or validation, including PD, LGD and CCF.
  • Experience with Pillar 2 models (economic capital, stress testing) a plus.
  • Derivatives modelling including:
  1. Very good knowledge and in-depth experience in the areas of derivatives valuation and statistics (model development and/or validation), as well as in derivatives valuation packages, preferably Numerix.
  2. Very good knowledge of counterparty risk quantification, including potential future exposure and credit valuation adjustment calculations.
  3. Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation.
  • Knowledge of BCBS regulations and best banking practice in the above fields.
  • Expertise in Matlab, SAS, C++ and/or C#.
  • Experience in working with regulators, auditors, and compliance will be considered as a plus.
  • Strong critical thinking skills to provide effective challenge to models developed internally and by vendors. Demonstrated ability to produce clear, concise written work products.
  • Ability to work effectively in a high pressure, fast paced environment with multiple deadlines and competing priorities.
  • Very good knowledge of English and/or French and a good command of the other (*). Knowledge of other EU languages would be an advantage.

Competencies

  • Achievement Drive: continually keeps an eye on performance, focusing on improving it, showing drive and determination to meet short and long-term goals.
  • Change Orientation: Adapts to differences and changes in the environment; takes a flexible approach to reach outcomes.
  • Collaboration: Works cooperatively as part of a team; works collaboratively with peers across organisational boundaries based on a genuine interest in and an accurate understanding of others and their individual perspectives and concerns.
  • Organisational Commitment: Is willing to commit to an organisation whose mission is to support Europe and is open to diversity, and to align her/his own behaviour with the organisation’s needs and intrinsic values, acting  with integrity in ways that promote the organisation’s mission, policies and rules.

(*)There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in one of the two languages. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of the relevant language and accept that their future career in the EIB may be subject to the attainment of sufficient proficiency in both of the Bank’s working languages

Deadline for applications: 4th January 2018

We believe that Diversity is good for our people and our business. We promote and value diversity and inclusion among our staff and candidates; irrespective of their gender, age, nationality, race, culture, education and experience, religious beliefs, sexual orientation or disability