Credit Risk Officer

**Job description**

The ESM is looking for an Interim Credit Risk Officer to join our Credit Risk & Governance team in the Risk Management division to cover a staff absence for a 6 months period. This team monitors credit and counterparty credit risks and manages and develops related models and policies for the ESM investment portfolios and funding activities. This happens within the boundaries of the ESM High Level Principles of Risk Management, Risk Policy and Risk Appetite Statement, and Credit Risk Policy. The selected person will work under the guidance of the Lead Officer for the Credit Risk & Governance team and report to the Head of Risk Management.

**Key Accountabilities**

**Credit risk identification and control**

- Assess the creditworthiness of financial institutions, sovereigns, government-related agencies, sub-sovereigns, supranational institutions, and other eligible issuers, including analysis of instruments, such as: covered bonds, government guaranteed debt, etc.
- Propose recommendations on limit amounts
- Assign and monitor exposure at default (EAD)/settlement limits on derivative counterparties and counterparties for secured money market transactions
- Identify trends in portfolio concentrations
- Contribute to emerging risk analysis and ad-hoc risk management projects, as needed

**Credit risk monitoring and reporting**

- Monitor external indicators and market developments
- Help to develop and maintain the credit ratings surveillance system
- Provide second line of defence oversight for Middle Office monitoring and reporting of limits
- Monitor credit limits/exposures by issuer and conduct regular reporting for the Internal Risk Committee (IRC) and the Board Risk Committee (BRC)
- Monitor and report on portfolios’ creditworthiness (e.g. average rating, expected loss, portfolio metrics Credit Value-at-Risk and Expected Shortfall)
- Provide clear and concise credit risk reports, presentations and statistics to internal and external stakeholders, including regular reporting to the IRC and BRC

**Credit risk framework and policies**

- Assist in developing the ESM high level risk policies, within the ESM’s institutional framework
- Contribute to ESM and EFSF credit risk policies and procedures
- Support preparations for internal and board level risk committees
- Work collaboratively with several ESM divisions, such as Funding and Investor Relations, Investment and Treasury, Asset and Liability Management, and Middle and Back Office, for matters related to credit risks and controls

**Key Background & Experience**

- Advanced university degree in a field such as economics, finance, risk management or quantitative studies
- At least 1 year of relevant work experience in credit risk or related disciplines, preferably in an international financial institution or other relevant public institution
- Good background in financial analysis modelling
- Knowledge of Fitch, S&P, and Moody’s rating systems
- A certificate in risk management or financial analysis (FRM, PRM, CFA) is considered a plus
- Advanced Excel skills, familiarity with PowerBI and programming skills such as Python is considered an asset
- Fluency in English, both oral and written

**Key Competencies**

- Good analytical and conceptual skills
- Communication and interpersonal skills
- Developing self and others
- Attention to detail, with rigorous approach
- Innovative thinking
- Well-structured and organised with ability to prioritise competing tasks in a fast-paced deadline-driven environment

**Application Process And Practical Information**

- Contractual terms: Non-ESM staff (assignment contract via a temporary agency)
- Contract duration: 6 months (with possibility of extension by a further 6 months)
- Place of employment: Luxembourg
- Current working arrangements: possibility to work remotely, usually up to two days a week, from Luxembourg and the border region (under certain conditions).