Espace Recruteurs
Dexia Crédit Local

VIE BRUSSELS - RISK MODELLING ANALYST H/F H/F

Dexia Crédit Local Bruxelles, Belgique
Mise en ligne il y a 3 jours CDI Competitive
VIE BRUSSELS - RISK MODELLING ANALYST H/F H/F
Among the main responsibilities of RMQD are:
- Developing, backtesting and stresstesting of quantitative credit risk models (e.g. probability of default), in the context of IFRS 9 provisioning and for internal risk assessment, for all asset classes in the Dexia portfolio.
- The annual production of the internal capital assessment (ICAAP) covering all risk types. Full production of the credit risk assessment via portfolio risk models. Transversal responsibility with other teams to collect input for other risk types (market risk, operational risk, climate risk, ...) and to integrate all risks in the final overall risk assessment.
- Developing and backtesting of models translating forward looking macro-economic scenarios into credit risk impacts.
- Strategic planning and capital projection under different scenarios for the full Dexia portfolio, taking into account economic and regulatory constraints, and considering specific risks at portfolio level such as correlation and concentration risk.

The position involves state-of-the-art modelling and data science for active risk management. This is a perfect first experience in quantitative risk management, in a multicultural environment within a highly motivated team.

Profile
University degree with a strong quantitative orientation (mathematics, commercial engineering, physics, statistics, data science).
Strong programming skills are required.
  • Profound knowledge of English and French are required.
  • Experience in Financial Mathematics, Risk & Financial Engineering is a plus but not a requirement.
  • Desired experience: none
  • Specialization: Finance, Mathematics, Physics
  • Spoken languages: French, English
  • Level of study: Bac+5 and more
  • Degree: MASTER 2, MBA
We offer
As a VIE at the Risk Modeling, Quantification and Default (RMQD) team, you will be part of a team of 25 persons, of which 12 are located in the Brussels office. RMQD is responsible for a wide range of topics in risk management. Our main expertise is in quantitative credit risk modeling, but we are also responsible for transversal topics covering qualitative credit risk, market risk, operational risk, climate risk, etc. Due to the flat hierarchical structure of the team, you will get the opportunity to work on different topics and gain experience across different areas of risk management.
Référence  2022-324
À PROPOS DE CETTE ENTREPRISE
Puteaux, France
Banque privée
Dexia est une banque dirigée conjointement par la Belgique et la France. Dexia se consacre aujourd’hui pleinement à la gestion en extinction de son p...
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