(Senior) Market Risk Analyst Team IRRBB (M/F) | Job

The Job / Responsibilities :

Founded in 1856, Banque Internationale à Luxembourg is the oldest multi-business bank in the Grand Duchy. From its foundation, the BIL has always played an active role in the development of the Luxembourg economy. It currently operates in retail, private and corporate banking, as well as on major capital markets. Employing more than 2 000 people, BIL is present in the financial hotspots that are Luxembourg, Switzerland, and China.

As a major player in Luxembourg’s finance industry and as a signatory of the UN Principles of Responsible Banking, BIL is committed to handing over a responsible and sustainable bank to future generations.

As 2nd line of defence, the Market and Liquidity Risk Management department independently organizes the identification, measurement, monitoring, mitigation, supervision and reporting of the market and liquidity risks undertaken by the Bank. The department is notably in charge of the regulatory Liquidity, Market, Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book (CSRBB) measurement and reporting. The ALM, Treasury, Investment Portfolio, Structured Products and FOREX activities are under the supervision of the department.

Your next challenge:

• Computing, analysing, and monitoring the interest rate and credit spread risks measures.
• Providing regular assessments regarding gap, basis and option risks.
• Supporting the development of behavioural models.
• Maintaining the internal market risk environment in line with the regulatory landscape.
• Produce, analyse and control the regulatory and internal Economic Value, Net Interest Income and Maturity Schedule measures.
• Contribute to the ALM Committee preparation.
• In the perspective of the new IRRBB reporting, develop integrated solutions in RiskConfidence ALM to optimise the IRRBB/CSRBB process.
• Define and document methodologies (cash flow modelling and scenarios) to adequately assess the Interest Rate and Credit Spread Risks in the Banking Book.
• Provide analyses to calibrate the Risk Appetite Framework and the Policy limits.
• Measure the gap, option and basis risk as part of the Risk Cartography and the ICAAP.
• Take part in the overall risk reporting process, including SREP, ICAAP, Pillar 3 and annual report contributions.
• Together with ALM and ERM teams, support the modelling of Non-Maturing Deposits, Prepayment, Non-Performing Exposures and Loan Commitments.
• Provide ad-hoc analyses and simulations to support and challenge the 1st line of defence or to address Internal Audit, Internal Validation or regulatory requirements.
• Participate to regulatory exercises which pertain to IRRBB/CSRBB (e.g. EU-wide stress tests).

Your profile :

Your skills:

• Education (level): master’s degree in finance/economy/mathematics.
• Minimum 3 years of experience in Market Risk, Asset and Liability Management or any related field.
• Languages: French & English.
• Banking techniques:
- Good understanding of a universal bank balance-sheet structure.
- Strong knowledge of interest rate mechanism and interest rate products.
- Good knowledge of the new EBA IRRBB/CSRBB Guidelines and RTS/ITS is an advantage.
• Accounting knowledge is an advantage.
• IT Tools:
- Advanced proficiency in MS Excel and SQL.
- Knowledge of Moody’s RiskConfidence is an advantage.
• Analytical profile, rigorous and well-organized.
• Results-oriented mindset striving to deliver on time.
• Team player.
• Problem-solving skills.
• Writing skills.

BIL offers a broad range of challenging projects and a huge choice of career paths .We will assist you in finding the one that best meets your skills and expectations. Your personal development is our priority and we greatly encourage you to dive into different business areas for the broadest possible experience.
BIL is firmly of the opinion that diversity & inclusion contribute towards increasing the collective performance of the Bank. We are committed to creating a culture of inclusion that encourages individual development with equal opportunities for all.

NB: The selected candidate will be asked to provide an extract from the criminal record (no.3) as evidence of integrity and justified with regard to the specific needs of the position to be filled.

(Kindly make reference to Banking Boulevard when applying for this position).
(Mir soen Iech am viraus merci, dass der Iech bei ärer Kandidatur op den Banking Boulevard bezit).
(Merci de bien vouloir faire référence au site-emploi Banking Boulevard lors de votre sollicitation).