RISK MODELLER

Job description

Company Description
Dexia, a European Financial Group, is offering you a unique experience: managing a portfolio of good-quality long-term assets in a bank undergoing orderly resolution. To meet this challenge, Dexia is seeking people with a sense of curiosity, with good adaptation skills, a willingness to learn and wishing to contribute to promoting the interests of the Belgian and French States which fund us. Choosing to work for us means sharing, with 1,200 members of staff, values of cohesion, adaptability and professionalism, and becoming an actor of a company where the individual counts but which has the challenges of a multinational!
Missions:
The bank's credit models take into account the changing economic environment, upcoming risks and banking regulation.
Within the Risk Management department, you will join the Credit Models & Quantification team. You will be involved in the development and maintenance that include:
- develop and test models for credit risk transaction analysis and pricing
- periodical recalibration of parameters of the credit portfolio models
- contribute to the implementation of the IFRS9 expected loss impairment model
- participate to the implementation of stress testing tools and analysis
- compute and report long-term predictions of key risk measures (a.o. default losses, statistical provisions, risk-weighted assets, ECB liquidity reserve) under different stress scenarios.
The position involves state-of-the-art modelling for active risk management. This is a perfect first experience in the quantitative framework, in a multicultural environment within a highly motivated team.
Profile:
- University degree (Master, PhD) with a strong quantitative orientation (mathematics, commercial engineering, physics, statistics)
- Good knowledge of Matlab, SQL, Access and Excel
- Fast learner, autonomous, rigorous and team player.
- Fluent in English. French or Dutch appreciated.