3 Graduates – Credit Rating/Risk Models at EIB
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 Risk Management Directorate (RM) – Regulation & EIB Group Risk Department (REG) – Internal Modelling Division (IM) at its headquarters in Luxembourg, 3 Graduates – Credit Rating/Risk Models. These are full time positions.
- Are you a University graduate in a quantitative subject?
- Do you have knowledge/practical experience of credit rating/risk models?
- Are you familiar with mathematical/statistical software (e.g. Python, R, SAS, VBA) and as related to (credit) risk modelling
- Do you have sound knowledge of the MS Office pack (Word, Excel and PPT), and a solid IT background (working with large data sets and/or using SQL)?
If so, read on to find out more about these Graduate opportunities in our Internal Modelling Division!
The Internal Modelling Division is responsible for the design, development, implementation, maintenance, monitoring and oversight of the Bank’s rating systems, and for ensuring full compliance, in this domain, with the CRR, CRD, BRRD regulatory framework, IFRS9 standards as well as various Basel Committee and European Banking Authority guidelines, technical standards and recommendations. This comprises the rating/PD models, LGD models, EAD/CCF models, both TtC, DT and PiT, used in regulatory and economic capital calculations, and for risk pricing, macroeconomic stress testing and IFRS9 impairment calculations, including maintenance of the Credit Risk Control Function’s (CRCF) model governance framework. The Division comprises 2 Units.
As a Graduate in the Model Development Unit (MDU), you will support the development and upgrade of the internal models for credit risk parameters.
As a Graduate in the Model Maintenance & Monitoring Unit (MMU), you will assist in performing modelling activities around the assigned credit risk parameters.
Reporting to the relevant Head of the Unit, you will work closely with, and under the supervision of, more senior colleagues in the team. Supporting your senior colleagues, you will also have contact internally with:
- the model users across the Bank, to support them, ensure correct use of the models and retrieve regular feedback on the model’s behaviour
- other modellers that provide input to certain models owned by IM or develop similar models
- model validators (in RM and 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 to get their input and opinion on specific topics.
Externally, you may have contact with external auditors and/or consultants. In MMU, you will also liaise with members of the MDB/DFI community as part of the GEMs consortium and with the European Commission.
In MDU, inter alia:
- Support the development and improvement of Internal Rating, PD, LGD and EAD/CCF models in accordance with internal standards and best banking practices. In this context, conduct statistical analysis of external and internal default, recovery and credit exposure data
- Assist the senior colleagues in the team to develop and improve the macro-economic stress testing and IFRS9 models for point-in-time credit risk parameters
- Get involved in the implementation of the improvements and updates to existing model assumptions, standards, frameworks and methodologies
- Monitor recent developments in best banking practice and regulation, and participate to their implementation, supporting EIB Group’s efforts to maintain full compliance with the relevant best banking practices
- 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.
In MMU, inter alia:
- Support the senior modellers to improve, roll-out and execute the annual model performance exercise of the credit risk parameters models. Assist in performing model reviews (i.e. challenge existing model assumptions, standards, frameworks and methodologies, and propose changes for improvement) of the credit risk parameters models
- Participate in the roll-out and execution of the process oversight activities (e.g. model coverage and use, use test) to ensure the soundness of all rating processes
- Support the team to develop and update the PD methodologies (e.g pricing curves, mapping with external rating scales)
- Help the team in designing, coding and testing scripts for data collection, manipulation, statistical analysis and automatised report generation on a state-of-the-art Python platform and support the migration of existing scripts from R, SAS or VBA to the Python platform
- Execute the data extraction process of default and loss information for internal modelling purposes and the GEMs data consortium
- University degree in a quantitative subject
- A maximum of 2 years of work experience since your most recent graduation. Practical experience in line with the role and/or highly related academic studies would be preferred
- Familiarity with a variety of mathematical/statistical software (e.g. Python, R, SAS, VBA) as related to (credit) risk modelling
- Experience working with large data sets would be an asset, in particular for MMU
- Sound knowledge of the MS Office pack (Word, Excel and PPT). Solid IT background (SQL) would be an advantage
- Excellent knowledge of English and/or French (*) with a good command of the other.
Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index-test here
(*) There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in French. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of French and accept that their future career in the EIB may be subject to the attainment of sufficient proficiency in both of the Bank's working languages
We are an equal opportunity employer, who believes that diversity is good for our people and our business. As such, we promote the inclusion of suitably qualified and experienced staff without regard to their gender, age, racial or ethnic origin, religion or beliefs, sexual orientation/identity, or disability.
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 unauthorized disclosure of any information or any damage to the EIB Group reputation.
Deadline for applications: 8th August 2021. Panel interviews are anticipated for August/September 2021
The term of these contracts will be 2 years