Expert for the quantification of banking risks and for internal models (m/f/d), Luxembourg

Commission de Surveillance du Secteur Financier (CSSF) acts exclusively in the public interest. Our aim is to protect financial consumers and to promote fairness, transparency and security within the financial sector, one of the main pillars of the Luxembourg economy.

The CSSF is also distinguished by its strong involvement at European and international level. Our staff actively participate in working groups set up by international institutions and work closely with other European authorities, with the shared aim of promoting financial stability at European and international level.

Tasks

• Monitor the banks' internal credit risk models and market risk
• Assess compliance of internal models with regulatory requirements
• Participate in the design of monitoring tools at national and international level
• Support line supervisors in their supervision and understanding of model-related issues
• Take part in on-site inspections covering internal models
• Participate in European (e.g. European Central Bank (ECB) and European Banking Authority (EBA)) as well as international (e.g. Basel Committee on Banking Supervision) working groups on regulation and policy issues and be involved in the related supervisory exercises (among others the yearly EBA Supervisory Benchmarking exercise and the ECB ongoing model monitoring of validation reports of the supervised entities)

Profile

• Master’s degree (BAC +4/+5) with a strong focus on quantitative approaches (mathematics, statistics, econometrics, economics or finance) and risk management
• At least 3 years of professional experience in the financial sector in relation with risk management or risk modeling
• Knowledge of the regulatory framework (CRR/CRD) is a strong asset
• Knowledge in Business Intelligence tools (e.g. Power BI) and in R programming. VBA is considered an advantage
• Very good knowledge of English, French, German and/or Luxembourgish
• Excellent writing and analytical skills
• Ability to work autonomously and as part of a team
• Availability for potential missions abroad