Within the Risk Department, you will work in the RMQD (Risk Models, Quantification and Defaults) team and you will work on the following topics
- Development, maintenance and backtesting of credit risk models used for analyzing the counterparty-level credit risk in the Dexia Portfolio (PD, LGD, EAD: Basel pillar 1 models and Standard portfolio).
- Portfolio risk management (Credit Value-at-Risk, VaR) aimed at assisting strategic decision-making as part of Basel Pillar 2 calculations and periodically calibrating the parameters of portfolio management models.
- Implementation, maintenance and use of models for provisioning under the IFRS9 accounting rules based on expected loss calculations.
- Executing and analyzing stress test exercises for the top management; ICAAP files (regulatory view and economical view); the <>
- Calculating and analyzing long-term projections of key risk parameters (losses in case of default, IFRS9 provisions, risk-weighted assets, liquidity reserves) under different base and stress scenarios
- Production of the ICAAP file : maintenance of the risk cartography and evaluation of the integrated risk map: you integrate the contributions of the Credit Var (RMQD), Operational Risk VaR (Operational Risk colleagues and RMQD), , and market risk and the ALM stress (Market Risk colleagues) in a global risk view.
- Used software : Matlab (computations) and SQL (database)
- You hold a University degree with a quantitative/financial background (e.g. business engineer, civil engineer, physicist, mathematician, PhD)
- You are able to focus on finding effective solutions that are applicable for Dexia’s business, in a changing economic and regulatory environment.
- At least 3 years of experience in risk quantification and/or Credit risk in a bank or financial institution
- Good knowledge of financial products and markets
- Knowledge of Maltab/R and SQL