Risk Management Directorate – Regulation and EIB Group Risk Department – EIB Group Model Validation Division - Credit, Capital and ALM Model Validation (CCV) Unit - (Senior) Model Validation Officer (*). This is a full-time position at Grade 5/6
Panel interviews are anticipated for October/November 2021
(* Internal benchmark: (Senior) Officer, Credit Risk Management)
The CCV Unit’s role is to bring the development of the Group’s risk analysis models into a structured process for independent review, testing, approval and documentation. The team is tasked to:
- identify and track all models related to credit, capital, pricing and ALM within the EIB Group
- independently validate models and their implementation
- assess the model risks, the appropriateness for the purpose used, and the general approach for each model.
As (Senior) Officer, you will test, review and validate the models used within the EIB Group in order to keep the EIB Group at the forefront of market and regulatory developments in model validation
Reporting to the Head of the CCV Unit and working in close collaboration with a team of Validation Officers, you will also interact regularly with colleagues both in RM and in other Directorates of the Group, in particular with those responsible for credit risk modelling, risk analysis, ALM and valuation. You will also have contact with internal and external auditors and the Audit Committee.
- Validate models built to assess and quantify a wide range of risks (credit risk, IRRBB, liquidity, stress testing, fund transfer pricing etc.)
- Execute validation programs that include:
- Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated
- Tracking the resolution of findings with model owners and users
- Employing technical expertise and analytic acumen to provide high quality deliverables in a fast paced risk management environment
- Examining the conceptual soundness of models. Reviewing and effectively challenging their underlying assumptions, theory, empirical evidence, and limitations
- Writing model validation reports documenting the results of the model validation, including observations and findings, and recommending remedial action plans. Producing reports to track validation status and results for management as well as internal and external auditors
- Interfacing with model stakeholders throughout validation process, external and internal audit to discuss justification and reasoning behind validation findings
- Working with various teams across the EIB Group to develop and maintain an inventory of all models used
- Directly contributing to the EIB Group’s efforts to maintain full compliance with the Basel II/III regulatory framework in the area of model validation
- Participating in the Bank’s efforts to ensure on going compliance with its framework of best banking practice in the area of risk management
- University degree, preferably to post-graduate level and in Mathematics, Quantitative Finance, Statistics or another quantitative subject. Professional qualifications, such as CQF, FRM, PRMIA or GARP, would be an advantage
- Significant relevant professional experience, of which at least 5 years extensive experience in one of the following:
- Credit risk modelling including very good knowledge and in-depth experience in the areas of IRB model development and/or validation, including PD, LGD and CCF. Experience with Pillar 2 models (economic capital, stress testing) would be a plus
- Quantitative modelling in Liquidity, ALM, Interest Rate Risk in the Banking Book
- Knowledge of regulation (BCBS, CRR and EBA) and best banking practice in one or more of the above fields
- Expertise in a programming language such as Python, R, Matlab, SAS, C++ and/or C#
- Experience in working with regulators, auditors, and compliance will be considered an advantage
- Strong critical thinking skills to provide effective challenge to models developed internally and by vendors. Demonstrated ability to produce clear, concise written work products
- Very good knowledge of English and/or French with a good command of the other (*). Knowledge of other EU languages would be an advantage
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.
We particularly welcome applications from women and persons with disabilities.
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 unauthorised disclosure of any information or any damage to the EIB Group reputation.
Deadline for applications: 12th September 2021