Credit Risk Analyst (départment F&R Factory Data Monitoring and Analyses) (M/F)

Your next challenge:

1. The unit F&R Factory Data Monitoring and Analyses (F&R DMA) composed of 4 employees is in charge of:

  • Quality controls of the data introduced in RFO Master and used in different satellites;
  • Adjustments within RFO Master according to a specific process and in coordination with the major stakeholders;
  • Reconciliations during the fast-close production with the accounting department;
  • Computation of Credit Risk Weighted Assets (RWA) based on Basel III framework, used for the calculation of the capital adequacy ratio (pillar I);
  • Production of the Expected Credit Losses (ECL) according to IRFS9 standards;
  • Internal reporting regarding data quality and RWA/ECL evolution;
  • RWA and ECL simulations;
  • Acting as expert regarding RWA and ECL subjects for the Bank in coordination with the Risk Management department.

2. In terms of deliverables and key activities, you will be responsible to : 

  • Ensure ECL/RWA computation process (called Fast-Close process) meet the various deadlines;
  • Gather and plan effectively the numerous tasks among the team and exchange this calendar with stakeholders;
  • Anticipate before end of quarter the points to be addressed/solved/improved; close collaboration with data owners/IT teams/stakeholders;
  • During the Fast-Close, monitor data quality, address each issue discovered at each step to the adequate contact and implement action plan to solve the issue via a correction in the “roadbook” to ensure the RWA and ECL correctness;
  • Perform analysis and explanations on quarterly RWA and ECL variations;
  • Act as expert on ECL and RWA calculation in the Bank;
  • Continuous improvement of IT controls’ framework;
  • Understand the transformation flows of the data (run/push/push backs;
  • Actively participate in testing programs;
  • Provide RWA and ECL simulations for all business lines (Luxembourg Market & CIB, Wealth Management and Financial Markets);
  • Perform ad-hoc analyses.
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