RISK MODELLING H/F

Job description

BELGIQUE(Bruxelles)
du01 août 2020au01 août 2021(pour12mois)
ETABLISSEMENT :DEXIA CREDIT LOCAL
REMUNERATION MENSUELLE :1809€ (indemnité non contractuelle fixée par décret et arrêté, dont le montant peut varier notamment en
fonction de l’évolution du barème de référence, de la localisation de la mission et des cas d’abattements prévus par les textes)

Mission : Develop and teste risk rating and LGD models (Basels pillar & 1 IFRS9), portfolio models (Basel pillar 2) and participate to the calibration of credit risk parameters. Apply thse models for stress testing, portfolio analysis and risk projections.

Description : The bank's credit models take into account the changing economic environment, upcoming risks and banking regulation.
You will be involved in the development and maintenance that include:

- Develop and test models for credit risk transaction analysis and pricing
- Periodical recalibration of parameters of the credit portfolio models
- Contribute to the maintenance of the IFRS9 expected loss impairment model
- Uptdate the risk parameters to the new default definition
- Regulatory Q&A : On site inspections, TRIM
- Participate to the implementation of stress test and analyses
- Compute and report long-term predictions of key risk measures (a.o. default losses, statistical provisions, risk-weighted assets, ECB liquidity reserve) under different stress scenarios.

The position involves state-of-the-art modelling for active risk management. This is a perfect first experience in the quantitative framework, in a multicultural environment within a highly motivated team.

Profil :

University degree with a strong quantitative orientation (mathematics, commercial engineering, physics, statistics).
Preference for specific orientation in Financial Mathematics, Risk & Financial Engineering or similar with experience in one or more domains :
- Empirical statistics : regression analysis, nonlinear
models
- Stochastics & Probabilistic methods applied to Finance
- Quantitative Portfolio Management
- Optimization techniques
- Simulations of process to price securities
- Risk measures & Management.

Matlab, SQL, Access and Excel skills are important given the quantitative nature of the job. Coding skills are also required

Profound knowledge of English and French are required