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Market Risk Analyst (Team IRRBB) (M / F)

Banque Internationale à LuxembourgLuxembourg, Luxembourg

Il y a plus de 30 jours

Description de poste

In close collaboration with the Financial Markets department, BIL's Market and Liquidity Risk Management Risk Management (MLRM) oversees various activities in relation to market, liquidity and counterparty risks. In this respect, the department notably represents the 2nd line of defense in regards to the Interest Rate Risk in the Banking Book (IRRBB). The dedicated IRRBB team is responsible for :

Maintaining the MLRM environment and IT risk tools in line with regulations and responding to requests from the Regulator related to interest rate risk, the new benchmark rate reform regulation (IBOR transition) and the IRRBB scope;
Producing & Automating regulatory and internal risk reports;
Monitoring the risk indicators related to interest rate risk of BIL Group (EVE, NII…) ;
Developing and running stress test scenarios.

Mission :

As IRRBB expert you will :

Produce and analyse the IRRBB indicators;

Participate to the implementation of the net interest income stress test;

Maintain the risk management tool (RCO ALM) configuration and upgrades with respect to new regulatory requirements, new models implementation and data mapping.

Handle hot topics such as regulatory requirements or specific demands from the management related to the IRRBB.

Actively participate to the current migration of core banking system and the maintenance of databases related to IRRBB and market data;

Put in place regular controls to ensure consistency between risk reports and the Finrep;

Ensure the documentation of the department processes and procedures;

What will you do?

Key accountabilities :

Develop, refine and automate reports and methodologies dedicated to IRRBB assessment (EVE, NII, CSRBB);

Together with ALM and Risk teams, support the modelling of non-maturing deposits, prepayment and non-performing exposures;

Take part in the overall risk reporting process, including SREP; ICAAP, Pillar III and annual report contributions, and provide analyses to meet regulatory and management requirements;

Contribute to the ALCO preparation;

Participate to the EU-wide stress testing (EBA) related to the net interest income stream

In close collaboration with IT, project teams and the ALM department, participate to the migration from Fermat ALM to RCO ALM;

Take over & implement the findings from Internal Audit, Internal Validation and Regulatory requirements.

MUST HAVE REQUIREMENTS

Diploma / experience

A master’s degree (or equivalent) in Finance / IT / Economy / Mathematics;

A minimum of 3 year experience in the Financial Risk Management or Asset and Liability Management department.

Knowledge and experience :

Familiar with IT tools for interest rate risk management or ALM. Knowledge of RCO ALM and Moody’s tools will be considered a plus

Good knowledge of the IRRBB regulation (BCBS and EBA’s texts / directives);

Good understanding of a universal bank balance-sheet structure;

Strong knowledge of interest rate mechanism and interest rate products;

Knowledge in computing and analysing IRRBB metrics or banking book monitoring;

Ability to handle multiple tasks and prioritize accordingly;

Technical skills :

Advanced proficiency in MS Excel / VBA is mandatory;

knowledge of Moody’s analytics tools (RFO Master / RCO ALM), Business Object, Dataiku, SQL and Python is an advantage;

Fluent in French and English.

Interpersonal skills :

Be ready to become a long term MLRM ambassador !

Positive attitude is essential !

Builder” mindset

Eager to learn, to develop and to share

Analytical profile, rigorous and well-organized

Ability to code into database and relevant project management experience

Innovative and creative, able to conceptualize

Results-oriented mindset striving to deliver on time

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Market Risk Analyst • Luxembourg, Luxembourg