Senior Quantitative Analyst (ERM Team) (M/F)

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 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.
  • Development or Improvement of Stress Test models to forecast BIL Group key risk indicators. It encompasses design, implementation, documentation, and maintenance of the models.
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