The Dexia Group’s management in run-off offers you the opportunity to gain new and exciting experience
Are you ready to take on new stimulating and exciting challenges? Do you want to accelerate your career by developing your skills? Would you like to enhance your employment chances in a dynamic and rewarding environment? We are interested in your profile
Within the Risk Department, you will work in the RMQD (Risk Models, Quantification and Defaults) team. The RMQD team is responsiblefor the development and use of all quantitative credit risk models, both at counterparty and portfolio level. The development is based on advanced statistical and mathematical modelling. The models are used by the RMQD team itself for key regulatory and strategic exercises, ranging from quarterly IFRS9 expected credit loss calculations, projections of the key risk measures in the financial plan, stress testing and the integrated ICAAP file of the bank. More specifically, the projects cover:
• The development, maintenance and backtesting of the internal credit risk models, which are used for analyzing the counterparty-level credit risk in the Dexia Portfolio. This implies the construction of rating migration, PD and LGD models, covering the whole process from data collection & treatment, discrimination analysis and calibration of the risk levels up to implementation (both long-term Through-The- Cycle and Point-In-Time macro-economic models).• The calibration of the parameters of the internally developed portfolio management tool which assesses the portfolio tail risk (Credit Value-at-Risk, VaR). These include a.o. the calibration of stochastic PD and LGD, the asset correlation structure and global maintenance/updates of the portfolio management tool to reflect the portfolio’s risk dynamics.• The production of strategic long-term and/or stress test results for top management. The RMQD team assists in the development of the different base and stress scenarios and is responsible for the calculation of all credit risk impacts (a.o. losses in case of default, IFRS9 provisions, risk-weighted assets). On other risks (such as operational and market risk) the RMQD team is responsible for the collection and aggregation of the relevant results from the other Risk teams in order to produce the global risk view across the bank and its entitiesunder all base and stress scenarios.• The development and follow-up of the credit risk indicators within Dexia’s Risk Appetite Framework.
All the above mentioned models and tools are built and maintained within RMQD inside the Matlab environment, while the datatreatment is mainly based on SQL.
The primary role is to monitor and analyse credit risks for all project finance assets, corporates and satellites included in the portfolio, in line with the strategies defined by the Risk Management and in collaboration with all other departments o the bank (Asset management, legal, etc.):
You have a BAC qualification +5 years at a business school or university with a specialisation in finance.
Experience in financial analysis and more specifically project finance or corporate finance is desired.
You have excellent analytical and summary skills.
You have a very high level of French and English (written and spoken). Knowledge of Italian is an advantage!
You can demonstrate excellent knowledge of Office tools such as Excel.
You are meticulous, hard-working, responsive and have great interpersonal skills.
The post holder will be tasked with analysing and improving market risk indicators in order to render an appropriate image of the risk profile of Dexia Crédit Local and the Dexia Group.
The post holder will be responsible for all or part of the following tasks:
We are looking for a candidate with a BAC qualification +5 years specialising in market finance.
A minimum of 3 years' experience in financial markets is required.
Good command of Excel, VBA and ACCESS is expected.
We are seeking candidates with an excellent command of both written and spoken English.
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.
University degree with a strong quantitative orientation (mathematics, commercial engineering, physics, statistics, data science).
Strong programming skills are required.