Senior Quantitative Analyst (Pillar 2 & IFRS9 Models) (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 IFRS 9 models, 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.
Economic Capital models: 
  • Development or improvement of models to cover BIL Group material risks (notably Credit Risk and Market Risks). It encompasses design, implementation, documentation, and maintenance of the models.
Stress Testing models: 
  • Development or Improvement of Stress Test models to forecast BIL Group key risk indicators. It encompasses design, implementation, documentation, and maintenance of the models. It includes notably the forecasting of Net Interest Income and Credit Risk losses.
  • Delivery and maintenance of models for internal clients (IRRBB models, IFRS 9 models, CVA/DVA IFRS 13 model). The activity includes the design, implementation, documentation, and maintenance of the models.
  • Production of the monthly ECAP estimations and timely reporting in the Monthly ECAP report.
  • Production of the contributions to the Quarterly Risk Dashboard with the ECAP estimations and the quarterly stress test results.
  • Improvement of the approach, support of the users regarding methodological and technical matters.
  • Contribution to the ICAAP and ILAAP packages.
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