(Associate) Credit Risk Model Developer

The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Regulation and EIB Group Risk Department (GREG) – EIB Group Internal Modelling Division (IM) – Model Development Unit (MDU) at its headquarters in Luxembourg, a (Associate) Credit Risk Model Developer*.

This is a full-time position at grade 4/5 for which the EIB offers a permanent contract.

Purpose

Develop, review and enhance internal credit risk models and methodologies that are used for different purposes within the Bank, including regulatory and economic capital calculations, risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, in order to keep the Bank at the forefront of market and regulatory developments in quantitative risk modelling and credit risk assessment.

Operating Network

Reporting to the Head of Unit, you will work in close collaboration with the colleagues from the Group Risk & Compliance Directorate and internal model users from across the EIB and EIF.

You will have contact with a range of colleagues, via workshops, emails, phone calls, one-to-one meetings:

• the model users (in other GR&C-RM teams, and also in front office lending, transaction portfolio monitoring, Finance, and Financial Control) to support them, ensure correct use of the models and retrieve regular feedback on the model’s behaviour
• other modellers (e.g. in the Economics Department and at the EIF) that provide input to certain models owned by IM or develop similar models
• model validators (in GR&C-RM and Internal Audit) to support and consult them during the validation exercise
• GCS-GDO to ensure robust implementation and integration of the internal model’s in EIB’s IT systems
• other subject matter experts (in GR&C, Legal and the technical Projects Directorate) to get their input and opinion on specific topics.

Accountabilities

• Develop, review and enhance the internal PD, LGD and EAD/CCF credit risk models in accordance with internal standards and best banking practices
• Undertake data preparation, data analysis, coding, testing and documentation related activities throughout the model development process working closely with colleagues in the same or similar development projects
• Challenge existing model assumptions, standards, framework, design, methodologies and calibrations, propose changes for improvement and be able to implement those changes in a timely manner as and when needed
• Efficiently liaise with model users and stakeholders, to capture feedback, to undertake model testing and to explain the impact of changes on different model uses
• Regularly interface with colleagues, including independent model validation and (internal or external) auditors to discuss findings and potential model improvements
• Take part in the related implementation projects with IT when needed
• Monitor and interpret recent developments in banking regulation and directly contribute to EIB’s efforts to maintain full compliance with best banking practices applicable to Bank including internal policies and governance papers
• Contribute to the development and improvement of policies, procedures, support and control systems, IT systems, methodologies and working tools in the area of internal risk models and in line with the overall risk strategy.

Qualifications

• University degree, preferably in a quantitative subject. A PhD or other post–graduate studies in a quantitative discipline and evidence of continuing professional education would be a definite advantage
• At least 3 years of highly relevant professional experience most likely  acquired in a credit risk model development and/or validation role in an A-IRB bank, national regulator or consultancy provider
• Specifically, credit risk modelling experience in relation to low-default portfolios will be valuable
• Detailed knowledge of credit risk related regulations (e.g. Basel framework, ECB and EBA guidelines) is considered an asset
• Experience in working with credit risk related data and relevant IT skills (Python, SQL (Oracle, Sybase), R, SAS, VBA)
• Familiarity with specialized software and data sources as related to credit risk modelling (e.g. Moody’s DRD, BvD Orbis, Moody’s Financial Metrics, S&P Capital IQ) is considered an asset
• Excellent knowledge of English and/or French (*) with a good command of the other. Knowledge of other EU languages would be an advantage.

Competencies

Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index.htm here

(*) Unless stated explicitly as a required qualification, a good command of French is not a pre-requisite for hire.  As both English and French are however official working languages of the EIB, proficiency in both languages is a pre-requisite for your future career development.  Any language clause in your contract must be fulfilled in order for you to be eligible for a promotion (either via the annual appraisal cycle or via an internal selection process).  Proficiency is understood to mean the attainment of level 5 of the Inter Institutional language courses, corresponding to B1.2 of the Common European Framework of Reference for Languages (CEFRL).  The Bank offers appropriate training support. 

We are an equal opportunities employer, who believes that diversity is good for our people and our business.  We encourage all suitably qualified and eligible candidates to apply regardless of their gender identity/expression, age, racial, ethnic and cultural background, religion and beliefs, sexual orientation/identity, disability or neurodiversity.

Applicants with specific needs are encouraged to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team Jobs@eib.org who will ensure that your request is handled.

By applying for this position, you acknowledge the importance of maintaining the security and integrity of the Information of the EIB Group. In case of selection for the position you agree to comply with all measures (policies, controls, document classification and management) implemented by the EIB Group to prevent unauthorised disclosure of any information or any damage to the EIB Group reputation.

Deadline for applications: 20th March 2023. Panel interviews are anticipated for April 2023. 

*internal benchmark: (Associate) Officer Credit Risk