Our client is a key player in the Luxembourg financial market with activities in Retail Banking, Private Banking and Corporate Banking.

We are looking for a Model Validation Manager to join the Credit Risk Management department.

Job purpose :

Quantitative validation of Credit Risk models mainly related to the Credit Risk Pillar I of Basel III framework and to the IFRS 9 Framework.

That includes :

• development and implementation of model validation processes in compliance with the regulatory requirements in the mentioned topics
• follow-up and formulation of recommendations to improve the different model performances
• contribution to the methodological choices in the model development stages

Responsibilities :

•  Implementation and maintenance of model validation processes (test definition, implementation and maintenance of a validation technical architecture, definition and update of the processes,…
• Review of back-testing exercises produced by the Modeling team
• Realization of the benchmarking annual reports related to the models used in the calculation of the capital charge for the purpose of quantitative validation
• Management of recommendations aiming at ensuring the adequacy and the compliance of models (issue and monitoring)
• Leading validation committee as decision-making body related to model validation
• Production of an annual report on the rating system performance to the dedicated management bodies
• Validation of methodological choices and contribution as an expert to the model review

Profile :

• University degree in mathematics, statistics, finance or economics (BAC +4/5)
• Banking experience in the implementation and management of internal rating system
• Knowledge of financial instruments and banking products, banking credit activity, risk management techniques and more particularly risk modeling and Credit Risk management.
• Knowledge of quantitative and statistical techniques implemented in the modeling and valuation of Credit Risk, Rating and credit analysis method. Knowledge of Basel III banking regulation.
• Ability to synthesize, coordinate and negotiate
• Team management skills
• Fluent in French and English
• Computer skills : MS Office Suite, Statistical tools (SAS, Matlab, ….) and Business Object.

This is a great opportunity to join an international bank offering a dynamic environment.

If you are interested in this position, please send us your application (cover letter + cv) to recrutement@experia.lu

Successful applicants will be contacted very quickly.  Confidentiality assured.