Head of Modeling (M/F) Publié le 11-02-2018

Localisation : nc
Salaire : nc
Expérience requise : 2 ans d'expérience
Date de début : Dès que possible
Activité : Banque de Détail
Type de poste : CDI

Mission

We are currently recruiting for our Risk Management Department a
 
Head of Modeling 
(M/F)
 
Your mission :
Manage the activities and the team of the Modeling unit which has as purpose to: 
-  Develop and maintain all the models related to the credit risk quantification and related parameters and system implemented by the Bank in the context of:
- The implementation Internal rating system (IRB) based approach applied in and optimising the regulatory capital requirements of the BIL Group (Pillar 1),
- The computation of the economic capital required for the management of the own funds adequacy (Pillar 2),
- General and specific provisions calculation and IFRS9 impairment computation,
- The management of the credit activities.
- Manage and ensure the consistency of the internal rating system integration within the credit risk management process and policies of the Bank.
 
Your key responsabilities
1.Quantification of credit risk parameters involved  in the context of the regulatory minimum capital requirements calculation (regulatory requirements based on the CRD IV – Pillar 1, A-IRB)
In collaboration with Credit Risk :
- Develop and maintain risk parameters quantification models and the related internal rating system (IRS) involved in the capital requirement calculation aiming to maintain the Bank in A-IRB approach and to contribute to optimimizing the capital ratio of the Bank.
- Ensure the compliance of these models with the regulatory minimum requirements and standards, and their consistency with the internal credit risk processes and policies.
- Monitoring of the internal model performance through regular Backtesting and Benchmarking exercises, and implementation of appropriate actions in order to maintain the required level of model performance.
- Management of the homologation process of the A-IRB approach regarding the Model Management topic
- Management of the relationship with the appropriate authority (CSSF / ECB), the validation unit and the internal audit in the context of the maintenance of the A-IRB approach.
- Management of the implementation and the dissemination of the A-IRB model within the internal system and process of the Bank.
- Performing of annual regulatory stress test and communication to the senior management of the results. 
2. Quantification of credit risk parameters involved in the context the calculation of general and specific provisioning according to IAS39 and IFRS9.
- Develop and maintain risk parameters quantification models and the related internal rating system (IRS) involved in the impairment calculation.
- Ensure the compliance of these models with the IAS39 and IFRS9 standards and the consistency of these models with A-IRB framework.
- Monitoring of the internal model performance through regular Backtesting and Benchmarking exercises, and implementation of appropriate actions in order to maintain the required level of model performance.
- Implementation and maintenance of the system computing risk parameters.         
3. Credit risk quantification in the context of the economic capital assessment (Capital Adequacy)
- Quantification and periodic review of the risk parameters involved in the calculation of the economic capital of the Bank.
- On an ad-hoc basis, contribution to the ICAAP process (ICAAP Report, ECAP, stress testing …).
4. Managing default labelling process on which credit risk parameters and credit risk monitoring rely.
- Maintain the default definition in line with regulatory requirements.
- Lead the implementation of the default labelling process.
- Lead the design and the implementation of default and losses database.
5. Designing, implementation and maintenance of the internal model governance.
6. Monitoring of the main risk parameters and production of regular reports regarding the variation of these parameters.
7. Business Integration
- Ensure and facilitate the integration of the risk parameter assessment and the related tools within the credit risk management process, at the middle office level (provisioning, RWA calculation, risk reports) and at the front office level (credit granting).
- Collect and manage internal requests (Credit risk, Marketing, Front Office) regarding credit risk model development or improvement.
8. Regulatory and internal project contribution, especially in the context of regulatory change or implementation (CRD, RTS, IFRS …).

Profil recherché

Your profile :
- Academical background : Mathematics/ Statistics, Finance or Economy / Management
- Education level : minimum Bac +5, PhD in quantitative field (with a Credit Risk orientation)
- Languages : French and English
- Technical banking Knowledge : Knowledge of financial instruments and in general of banking products, banking credit activity, risk management techniques and more particularly of risk modeling and Credit Risk management
- Office automation and computer skills : MS Office Suite, Statistical tools (SAS, Matlab,…) and Business Object.
- Other knowledge : Quantitative and statistical techniques implemented in the modeling and valuation of Credit Risk, Rating and credit analysis method. Knowledge of Basel III banking regulation.
- Type and years of experience : Banking experience in the context of the implementation and management of internal rating system : 5 – 10 years
- Other requirements : Synthesis skills, Coordination and negotiation skills, Team Management skills