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 Officer to join the Credit Risk Management department.

Job purpose :

Quantitative and qualitative validation of Credit Risk and IRRBB Pillar I  (Basel III/IV) models and a variety of Pillar II models and IFRS 9 models.

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,…
• Initial validation of new Pillar I & II models
• Review of model monitoring produced by the Modeling team
• Annual reviews of Pillar I models and periodic review of other models
• 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 +5)
• 3 years of experience in a similar role
• 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
• 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’re interested in this position, send your application to  recrutement@experia.lu

Successful applicants will be contacted very quickly .  Confidentiality assured.