Senior Data scientist (Team IFRS9 models) (m/f)
Banque Internationale à Luxembourg
- Luxemburg
- Unbefristet
- Vollzeit
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.
BIL Manage Invest (BMI) is a market-leading independent management company domiciled in Luxembourg, providing a one-stop regulatory solution for global investment managers. Staffed by highly experienced portfolio and risk managers, BMI is best positioned to provide premium 3rd party UCITS and AIFM services for the financial, real estate, infrastructure and private equity asset classes.Your next challenge:IFRS9 Model Development and Maintenance:
- Develop and maintain credit risk quantification models, in alignment with IFRS9 Expected Credit Loss (ECL) requirements
- It encompasses design, implementation, documentation, and maintenance of the models
- Assist in the production of modelled ECLs and overlays
- Provide analyses to different departments within the Bank
- Provide input to key reports
- Conduct credit risk stress testing for the Internal Capital Adequacy Assessment Process (ICAAP) and participate in the EU-wide Stress Testing (EBA) initiatives
- Develop and improve Stress Testing models used to forecast BIL Group key risk indicators
- Perform comprehensive macroeconomic analyses to support the stress testing and projection processes within the Bank
- Assist in designing custom scenarios used for a wide range of purposes (e.g., ESG, Recovery Plan, Capital Plan)
- Ensure that all models are developed, maintained, and regularly tested in accordance with internal procedures and standards
- Follow regulatory updates to ensure that the models are aligned with current requirements and foresee future enhancements.
- Maintain all aspects of the models in a professional manner and ensure thorough documentation is completed for all processes
- Mathematics, Statistics, Modelling, Economics, Computer Science, Data Analysis, Risk, Finance
- Master's degree in mathematics/actuarial science/finance/statistics/economics
- English / French
- Experience with:
- Stress Testing
- Scenario analysis and design
- Knowledge of financial instruments and of banking products, banking credit activity, risk management techniques and more particularly of risk modeling and Credit Risk management
- Advanced knowledge of the IFRS9 requirements
- Advanced programming skills in Python
- Familiar with version control systems (Git)
- Knowledge of Dataiku is considered as an advantage
- Advanced proficiency in MS Excel and SQL
- Self-starter attitude
- Ability to work independently and to collaborate with multidisciplinary teams
- Analytical profile, rigorous and well-organized
- Results-oriented mindset striving to deliver on time
- Problem-solving skills
- 5+ years in a similar role
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.NB: The selected candidate will be asked to provide an extract from the criminal record (no.3) as evidence of integrity and justified with regard to the specific needs of the position to be filled. Other documents will be collected, to the extent legally permitted, to perform background checks.