(Associate) Credit Risk Model Developer

The EIB, the European Union's bank, is seeking to recruit for its Group Risk and Compliance Directorate (GR&C) – Regulation and EIB Group Risk Department (REG) – EIB Group Internal Modelling Division (IM) – Model Development Unit (MDU), at its headquarters in Luxembourg, an (Associate) Credit Risk Model Developer (*). This is a full time position at Grade 4/5.

Purpose

You will develop, review and enhance internal credit risk models and methodologies that are used for different purposes within the Bank, including regulatory and economic capital calculations, risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment.

Operating Network

Reporting to the Head of Unit, you will work in close collaboration with the colleagues from the Group Risk and Compliance Directorate (GR&C) and with internal model users from across the EIB and EIF. You will have contact with a range of colleagues, via workshops, emails, phone calls, one-to-one meetings:

the model users (in other GR&C teams, and also in the Front Office, Portfolio Management & Restructuring, the Funding Directorate, and Financial Control) to support them, ensure correct use of the models and retrieve regular feedback on the model’s behaviour

other modellers (e.g. in the Economics Department and at the European Investment Fund - EIF) that provide input to certain models owned by IM or develop similar models

model validators (in GR&C and Internal Audit) to support and consult them during the validation exercise

IT to ensure robust implementation and integration of the internal model’s in EIB’s IT systems

other subject matter experts (in GR&C, and in the Legal and Projects Directorates) to get their input and opinion on specific topics

You will also interact externally with external auditors, consultants and/or vendors.

Accountabilities

Develop, review and enhance the internal PD, LGD and EAD/CCF credit risk models in accordance with internal standards and best banking practices

Develop and improve the macro-economic stress testing and IFRS9 models for credit risk parameters

Undertake data preparation, data analysis, coding, testing and documentation related activities throughout the model development process, working closely with colleagues in the same or similar development projects

Challenge existing model assumptions, standards, framework, design, methodologies and calibrations, propose changes for improvement and be able to implement those changes in a timely manner as and when needed

Regularly interface with colleagues, model stakeholders/users, independent validation and (internal or external) auditors to discuss findings and potential model improvements

Work on / coordinate related implementation projects with IT when needed

Monitor and interpret recent developments in banking regulation (e.g. EBA’s Single Rulebook, ECB’s guide on internal models, IFRS 9 standard etc.) and directly contribute to EIB’s efforts to maintain full compliance with best banking practices applicable to Bank including internal policies and governance papers

Contribute to the development and improvement of policies, procedures, support and control systems, IT systems, methodologies and working tools in the area of internal risk models and in line with the overall risk strategy.

Requirements

Qualifications

University degree with quantitative focus, preferably in Mathematics, Statistics, Finance, Science or Engineering. A PhD or other post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage

At least 3 years of relevant professional experience acquired in a credit risk model development and/or validation role in an A-IRB bank, national regulator or consultancy provider. Specifically, credit risk modelling experience in relation to low-default portfolios will be valuable

Detailed knowledge of EBA’s Single Rulebook, ECB’s TRIM guide, the Basel Framework and the IFRS 9 standard are considered an asset

Experience in working with credit risk related data and relevant IT skills (Python, SQL (Oracle, Sybase), R, SAS, VBA)

Familiarity with specialised software and data sources as related to credit risk modelling (e.g. Moody’s DRD, Moody’s Financial Metrics, S&P Capital IQ, BvD Orbis) is considered an asset

Excellent knowledge of English and/or French (*) and a good command of the other. Knowledge of other European Union languages would be an advantage.

Competencies

Find out more about EIB core competencies here

(*) There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in French. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of French 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

We are an equal opportunities employer, who believes that diversity is good for our people and our business. We encourage all suitably qualified and eligible candidates to apply regardless of their gender identity/expression, age, racial, ethnic and cultural background, religion and beliefs, sexual orientation/identity, disability or neurodiversity.

Applicants with specific needs are encouraged to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team Jobs@eib.org who will ensure that your request is handled.

By applying for this position, you acknowledge the importance of maintaining the security and integrity of the Information of the EIB Group. In case of selection for the position you agree to comply with all measures (policies, controls, document classification and management) implemented by the EIB Group to prevent unauthorized disclosure of any information or any damage to the EIB Group reputation.

Deadline for applications: 16th June 2022. Panel interviews are anticipated for end June/early July 2022

The term of this contract will be 4 years. The EIB offers fixed-term contracts of up to a maximum of 6 years, according to business needs, with a possibility to convert to a permanent contract, subject to organisational requirements and individual performance.

(*) internal benchmark: (Associate) Officer Credit Risk Management