Quantitative Credit Risk Analyst recruitment
Risk Management Directorate (RM) - Credit Risk and Policy Department (CRD) - Risk Policy and Pricing Division (RPP) - Pricing Unit (PRIC)
Quantitative Credit Risk Analyst
Preliminary Campaign in anticipation of a vacancy
24 month assignment for executive category staff (Link for more information)
Purpose
The Quantitative Credit Risk Analyst advises on the development and implementation of risk assessment and risk pricing for securitisation exposures (e.g. "CDO tranches") and is responsible for setting up risk measures, policies and risk reporting for such exposures. He/she will deal with technical aspects of risk management, working in collaboration with the Head of Unit and Heads of Division in RM, OPS, FI, FC and the EIF, as appropriate, with a view to ensuring a proper assessment of credit risks related to securitisation exposures.He/she will also work, together with another Quantitative Credit Risk Analyst, on the economic capital model and unexpected loss pricing for the overall loan portfolio.
Operating Network
S/he will work both autonomously and in a team and report to the Head of the Risk Pricing Unit.
Accountabilities
- Advise on risk pricing and develop, refine and support the risk quantification related to securitisation/risk sharing exposures, including new initiatives in the framework of "Europe 2020" (e.g. RSFF, Project Bonds Initiative), EIF products and ad hoc proposals involving securitisation and risk sharing structures, as they arise
- Contribute quantitative information to the monthly drafting of briefing notes to the EIB¿s designated members on the EIF Board, related to EIF activity
- Contribute quantitative information to the drafting of the Risk Capital Mandate Report to the CD, in the framework of the Risk Report
- Perform regular monitoring of securitisation exposures, including the monthly determination of "loan portfolio gradings" for such exposures, necessitating close interaction with the Loan Grading team and participation in related (IT) projects to ensure proper interfacing to other IT applications
- Maintain and develop the CreditMetrics application and perform quarterly updates of the Credit VaR calculations on EIB's overall loan portfolio
- In collaboration with colleagues in the Division, advise on and assist in the establishment of an economic capital framework, with a view to establishing regular process of benchmarking for regulatory and economic capital calculations (ICAAP)
- Perform ad hoc support activities in special initiatives related to the responsibilities of the Divisio.
- Support the unexpected loss pricing process, ensuring consistency in the use of the Loan Grading system and Credit Metric
- Advise on the development and implementation of new credit risk policies and mitigation measures in the area of structured credit products
- Support the drafting of notes on risk policy and pricing
Qualifications
- University degree in a quantitative subject (for example Maths, Physics, Statistics...), with some exposure to Finance. A degree in Finance or Economics with a very strong quantitative background could also be considered. Post-graduate studies in one of these subjects and/or PRMIA or GARP certificates would be considered an advantage
- Minimum 3 years of relevant professional experience, including "hands-on" financial or risk modelling experience, ideally in the area of structured credit products
- Familiarity with risk measurement methodologies and management tools
- Sound knowledge of credit portfolio models is required
- Knowledge in the areas of bank solvency regulation, and/or of risk and capital management (Basel II) would be an asset
- Expert knowledge of MS Excel, including VBA
- Expert knowledge of MATLAB. Knowledge of an object-oriented programming language would be an advantage
- Good knowledge of English and/or French, with a good command of the other. Knowledge of other European Union languages would be a plus
Competencies
- Quantitative analytical capability
- Analysis and problem solving
- Ability to draft simply and clearly
- Results oriented
- Capacity to work both autonomously and in a team
- Well-developed interpersonal skills and ease of contact
Deadline for applications: 16th May 2012
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