Risk Modelling Specialist

il y a 2 semaines

Luxembourg Banque et Caisse d'Epargne de l'Etat Temps plein

En vue de renforcer son Service Entreprise Risk Management, Spuerkeess recherche activement

**Un Risk Modelling specialist / Data scientist (M/F)**

Réf. ERM2249

**Profil recherché**:

- Titulaire d’un diplôme Master en finance, économie, économétrie ou similaire, avec une spécialisation en modélisation statistique;
- Expérience professionnelle dans le domaine de la modélisation des risques d’une banque, en tant que concepteur des modèles ou dans la validation de ceux-ci (modélisation statistique/mathématique) constitue un avantage.

Les compétences détaillées ci-dessous représentent un profil idéal. L’acquisition de ces compétences peut, sur base de prédispositions d’apprentissage démontrées, être effectuée par l’encadrement et la formation proposée par la Banque au cours de la prise de fonction et la période d’intégration.

Compétences techniques:
1. Spécificités métier et aspects réglementaires
- Maîtrise dans les domaines suivants:

- Modèles de risques
- Mathématique Financière (statistiques/probabilité)
- Compétences confirmées dans la rédaction de documents techniques et de procédures
- Bonnes connaissances dans:

- Pilier 2 (SREP, ICAAP, ILAAP, Stress test)
- Risques de credits
- Gestion du risque structurel (risque de liquidité, de change et de taux)
- SQL (programmation)
- Bâle 2
- Normes IFRS

2. Outils informatiques et compétences digitales
- Utilisation confirmée dans:

- Coding
- Langues de programmation ou de scripting (VBA, Powershell, Python)
- Bonnes connaissances dans:

- SQL Server (ea SSRS, SSAS)
- MS Office
- Data Mining
- Outils de collaboration (ex. Teams, sharepoint)

3. Connaissances linguistiques (oral et écrit)
- Maîtrises des langues française et anglaise
- La connaissance de la langue luxembourgeoise constitue un avantage.

Compétences transversales:

- Rassembler, traiter et restituer correctement l’information dans les délais impartis;
- Utiliser les moyens disponibles et effectuer les tâches simples ou répétitives de façon autonome, correcte et systématique;
- Montrer, transmettre et partager ses connaissances, ses idées et ses méthodes de travail;
- Créer et améliorer l’esprit d’équipe en partageant ses avis et ses idées et en contribuant à la résolution de conflits entre collègues.

**Missions**:

- Conception des modèles internes de risque:
- Les modèles servant à l’évaluation des besoins en capital économique (pilier 2 des accords de Bâle)
- Les modèles de scoring d’octroi de crédit
- Les modèles internes du risque de crédit IRB (PD, LGD, CCF)
- Les modèles de provisionnement IFRS9
- Les modèles de projection / stress testing (y compris pour le risque climatique)
- Les modèles de (ré)évaluation des biens immobiliers pris en hypothèque
- Tests et implémentation des modèles;
- Réalisation de la documentation détaillée des modèles;
- Amélioration continue des modèles (dont réponses aux recommandations liées aux modèles émises par l’audit interne, l’équipe de validation ou le régulateur).
- Un curriculum vitae détaillé;
- Une lettre de motivation;
- Une copie de vos diplômes (pour les diplômes obtenus à l’étranger, veuillez joindre l’inscription au registre des titres des diplômes universitaires délivré par le Ministère de l’Enseignement supérieur et de la Recherche).

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