Graduate - Credit Risk Model Development

The EIB, the European Union's bank, in the framework of its http://www.eib.org/about/jobs/working/graduate/index.htm GRAD programme, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Regulation & EIB Group Risk Department (GREG), EIB Group Internal Modelling Division (IM), Model Development Unit (MDU) at its headquarters in Luxembourg, a Graduate – Credit Risk Model Development*. This is a full-time position.

* internal benchmark: Graduate

The term of this contract will be 2 years.

Purpose

To support the development and implementation of internal models for credit risk parameters 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 the MDU Unit, you will work under the supervision of more senior colleagues in the team.  You will also have contact with:

• the model users (e.g. in the GR&C-Risk Management Climate and Credit Risk Department and the Capital Management and Capital Planning and Stress Testing Divisions, as well is in other EIB Directorates such as Portfolio Management and Monitoring, Front Office lending, Financial Control and Funding) 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 European Investment Fund) that provide input to certain models owned by IM or develop similar models
• model validators (in GR&C’s independent Validation Division, and with Internal Audit) to support and consult them during the validation exercise
• IT to ensure robust implementation and integration of the internal model’s in EIB’s IT systems
• Other subject matter experts for their input and opinion on specific topics.

Accountabilities

• Support the development and implementation of credit risk models (PD, LGD and EAD/CCF models) in accordance with internal standards and best banking practices. In this context, analyse and process data including external and internal default data as well as recovery and credit exposure data to support modelling tasks
• Work with senior colleagues to develop new credit risk methodologies and bring efficiency in data sourcing, data analysis and model implementation processes
• Under the supervision of the senior modellers, interact with colleagues from the Model Monitoring Unit, model stakeholders, independent validation and internal or external auditors to discuss findings and potential model improvements
• Support EIB Group’s efforts to maintain full compliance with the relevant best banking practices
• Monitor recent developments in best banking practice and regulation and participate in their implementation
• Support 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 with a quantitative focus (such as Mathematics, Statistics, Economics, Finance, Physics or Engineering)
• A maximum of 2 years of relevant experience (excluding internships of less than 9 months) since your most recent graduation, including:
  • Solid data analysis and programming skills (e.g. Python).  Experience working with databases would be an asset
  • Familiarity with a variety of mathematical/statistical software (e.g. Python, R, SAS), preferably as related to credit risk modelling
  • Sound knowledge of the MS Office pack (Word, Excel and PPT)
• Excellent knowledge of English and/or French (*), with a good knowledge of the other.

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: 16th March 2023. Panel interviews are anticipated for April 2023.