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Senior Quantitative Risk Manager

Luxembourg, LU, L-2955

Senior Quantitative Risk Manager
Job Summary

 

As part of the Group Risk Control function, the Financial Risk & Reporting department is

  • in charge of assessing and supervising the financial risks arising from the Group activities,
  • the central architect of the function risk data warehouse dedicated to regulatory and internal risk reports,
  • the competence centre for quantitative and modelling activities for the function.

To reinforce its Risk Modelling and Quantitative Analysis team, the Financial Risk & Reporting department is actively looking for a Senior Quantitative Risk Manager, whose role will be to assist in the deployment of harmonised and homogeneous models, tools, and reports across the Group, covering the full spectrum of risks.

Job Responsibilities

 

Take part in the design, implementation, monitoring and maintenance of quantitative models for Group Risk Control, both for regulatory and internal purposes, across all classes of risk (credit, market, operational):

    • the setting up of data collection processes, the adequate structuring of data in the function internal database, and the definition of quality assurance processes in order to ensure data integrity
    • the development of production-grade quality code and its deployment on the IT infrastructure
    • the definition of the associated governance frameworks
    • the monitoring of model performance and the review of model parameters

 

Actively participate in ECB’s EU-wide stress tests through the development of ad hoc models and tools, and the adaptation of stress scenarios

 

Support and contribute to the development of internal reporting solutions for Group Risk Control

 

Provide quantitative support and insights to other Group functions

 

 

Qualifications / Experiences

 

Advanced degree in a quantitative discipline (finance, mathematics, physics, engineering)

 

7+ years experience in a similar position

 

Skills

 

Knowledge of statistical tools and modelling techniques

 

Strong programming abilities

 

Literacy in Matlab, SQL, SSIS

 

Fluency with the MS Office suite, especially MS Excel

 

Sound analytical and mathematical skills

 

Curious, open-minded, results-oriented

 

Team player

 

Ability to work independently 

Languages

 

Fluent in English; French is an advantage