Senior Quantitative Analyst

il y a 2 semaines

Luxembourg, Luxembourg Banque Internationale du Luxembourg Temps plein

Banque Internationale à Luxembourg (BIL) is one of the biggest banks in the Grand Duchy, offering retail, private, corporate and institutional banking, as well as treasury and financial market services.


The majority of BIL's 2,000 employees work at the headquarters in Luxembourg City – this centralized setup promotes swift, agile decision-making and short reporting lines, enabling BIL to offer clients innovative solutions for their changing needs.

BIL is recognized as systemically important by the European Central Bank.

BIL has dedicated wealth management offices in Switzerland as well as trading floors in Luxembourg and Zurich.

In addition, BIL Group subsidiaries in Luxembourg offer specialized services:
Belair House (family office and investment management), BIL Manage Invest (alternative fund management) and BIL Lease (leasing solutions).

The Luxembourgish Government holds a 10% stake in BIL, thereby further strengthening the strategic position of the bank.

The remaining 90% of BIL are owned by the Chinese investment group Legend Holdings who are listed on the Hong Kong Stock Exchange and founded the Lenovo Group.

Founded in 1856, Banque Internationale à Luxembourg is the oldest multi-business bank in the Grand Duchy. From its foundation, the BIL has always played an active role in the development of the Luxembourg economy. It currently operates in retail, private and corporate banking, as well as on major capital markets. Employing more than 2 000 people, BIL is present in the financial hotspots that are Luxembourg, Switzerland, and China.

As a major player in Luxembourg's finance industry and as a signatory of the UN Principles of Responsible Banking, BIL is committed to handing over a responsible and sustainable bank to future generations.


Your next challenge:
Implement and monitor the quantitative aspects of BIL group ICAAP and ILAAP processes.

  • Deploy a robust Economic Capital framework, covering the material risks of the Bank, and contributing to the Bank's Capital & Liquidity Planning.
  • Continuous improvement of the models and documentation.
  • Addressing recommendations issued by internal and external stakeholders.
  • Ensuring the compliance with the Bank's Data Quality Framework.
  • Regular reporting of the ECAP figures and stress tests outcomes as part of the Bank's ICAAP/ILAAP process.
Provide quantitative expertise to the Risk Management and to other departments of the bank.

  • Design models or quantitative tools used by internal stakeholders for business/financial/risk management. The tasks include the development, testing, implementation, documentation of models.
  • A list of models managed by the team include: the NMD and Prepayment models for the IRRBB framework, the IFRS 9 models, the Financial Haircuts model, the CVA/DVA parameters in the context of IFRS 13, the provisions projection for the ECB Stress Testing exercises, the RAROC tool.
  • Provide quantitative advisory.

Economic Capital models:

  • Development or improvement of models to cover BIL Group material risks (notably Credit Risk and Market Risks). It encompasses design, implementation, documentation, and maintenance of the models.

Stress Testing models:

  • Development or Improvement of Stress Test models to forecast BIL Group key risk indicators. It encompasses design, implementation, documentation, and maintenance of the models. It includes notably the forecasting of Net Interest Income and Credit Risk losses.
  • Delivery and maintenance of models for internal clients (IRRBB models, IFRS 9 models, CVA/DVA IFRS 13 model). The activity includes the design, implementation, documentation, and maintenance of the models.

Reporting:

  • Production of the monthly ECAP estimations and timely reporting in the Monthly ECAP report.
  • Production of the contributions to the Quarterly Risk Dashboard with the ECAP estimations and the quarterly stress test results.

RAROC:

  • Improvement of the approach, support of the users regarding methodological and technical matters.
  • Contribution to the ICAAP and ILAAP packages.

Your skills:

Domain of expertise :
Mathematics, Statistics, Modelling, Computer Science, Data Analysis, Risk, Finance

Education (Required level) : Master or PhD level

Languages :
English / French

  • Banking techniques Knowledge and/or experience with economic capital (ECAP) modelling (including credit or market risk modelling)
  • Past experience in the development of Credit Value at Risk is an advantage
  • Stress Testing
  • IT techniques Advanced programming skills in Python
  • Familiar with version control systems (Git)
  • Knowledge of Dataiku is considered as an advantage
  • Advanced proficiency in MS Excel and SQL.

More requirements :

  • Strong initiative, self-motivation, and ability to work in teams.
  • Analytical profile, rigorous and well-organized.
  • Results-oriented mindset striving to deliver on time.
  • Problem-solving skills.
  • Excellent verbal, written, and interpersonal communication skills (French and English).

Experience :
(Type + number of years) 3+ years in a similar role


BIL offers a broad range of challenging projects and a huge choice of career paths .We will assist you in finding the one that best meets your skills and expectations.

Your personal development is our priority and we greatly encourage you to dive into different business areas for the broadest possible experience.

BIL is firmly of the opinion that diversity & inclusion contribute towards increasing the collective performance of the Bank. We are committed to creating a culture of inclusion that encourages individual development with equal opportunities for all.

NB:

The selected candidate will be asked to provide an extract from the criminal record (no.3) as evidence of integrity and justified with regard to the specific needs of the position to be filled.

Other documents will be collected, to the extent legally permitted, to perform background checks.

Your skills:

Domain of expertise :
Mathematics, Statistics, Modelling, Computer Science, Data Analysis, Risk, Finance

Education (Required level) : Master or PhD level

Languages :
English / French

  • Banking techniques Knowledge and/or experience with economic capital (ECAP) modelling (including credit or market risk modelling)
  • Past experience in the development of Credit Value at Risk is an advantage
  • Stress Testing
  • IT techniques Advanced programming skills in Python
  • Familiar with version control systems (Git)
  • Knowledge of Dataiku is considered as an advantage
  • Advanced proficiency in MS Excel and SQL.

More requirements :

  • Strong initiative, self-motivation, and ability to work in teams.
  • Analytical profile, rigorous and well-organized.
  • Results-oriented mindset striving to deliver on time.
  • Problem-solving skills.
  • Excellent verbal, written, and interpersonal communication skills (French and English).

Experience :
(Type + number of years) 3+ years in a similar role

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