Market Risk Analyst (M/F)

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. 


Key Objectives of the Job

As 2nd line of defence, the Market and Liquidity Risk Management department organize independently the identification, measurement, monitoring, mitigation, supervision and reporting of the market and liquidity risks undertaken by the Bank. The ALM, Treasury, Investment Portfolio, Structured Products and FOREX activities are under the supervision of the department. Within this framework, the Market Risk Analyst is responsible for:

·        Monitoring the market and counterparty risks metrics within the defined limits;

·        Computing and analysing the P&L generated by the Financial Markets activities;

·        Maintaining the internal market risk environment in line with the regulatory landscape.


Deliverables and Key Activities

·        Daily reporting of the market risk exposures (e.g. sensitivities, VaR and stress tests) and analytical profit and loss to the senior management;

·        Identify, investigate and document a wide range of market risk issues, including limit excesses and remediations or metrics calibrations;

·        Take part in the overall risk reporting process, including SREP, ICAAP and Pillar 3 contributions;

·        Implement the regulatory evolutions pertaining to market or counterparty risk (e.g. FRTB, BMR, EMIR, BCBS 239 and ESG).

·        Provide ad-hoc analyses and simulations to support and challenge the 1st line of defence or to address Internal Audit, Internal Validation or regulatory requirements;

·        Develop solutions and processes to monitor and challenge the derivatives and structured products valuations;

·        Support the technical/functional testing and analyses required for the implementation of a new projects (which includes the migrations of the core banking system and of Kondor+), a new product or a new reporting;

·        Enhance and improve processes in the context of the market risk monitoring.

Must-have requirements

Must-Have Requirements

·        Education (level): Master’s degree;

·        Education (orientation): economics, finance or mathematics;

·        Languages: French & English;

·        Banking Techniques :

-         Very good understanding of financial products, including plain vanilla derivatives;

-         Good knowledge of valuation techniques; knowledge of structured products valuation techniques is an advantage;

-         Good knowledge of regulatory standards pertaining to market and counterparty risks;

-         Accounting knowledge is an advantage;

·        IT Tools:

-         Advanced proficiency in MS Excel and VBA/SQL;

-         Knowledge of Kondor+, RiskMetrics, Bloomberg, T24 and Dataïku is an advantage.

·        Minimum 3 years of experience in market risk or any related field.

Other requirements:

·        Team player

·        Problem-solving skills

·        Writing skills

·        An eye for detail

·        Creative thinking

·        Interpersonal and organisational skills

We offer

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.

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