Missions
The main role of the Risk Division (RISQ) is to support the development of the Group’s activities and profitability by defining the Group’s risk appetite (allocated between the Group’s different business lines) in collaboration with DFIN and the BUs/SUs and establishing a risk management and monitoring system as a second line of defense. In performing its work, the RISQ SU reconciles independence from the businesses with a close working relationship with the BUs, which are responsible in the first instance for the transactions they initiate.The Model Risk Division (RISQ/MRM) is responsible for model risk management for the Group, since 2018. RISQ/MRM manages the second line of defense in such respect and supervises the model risk management service. As such, RISQ/MRM oversees the Group’s model risk governance, supervises all model independent review teams within the Group and conduct the models independent review within its scope.
The missions of the Model Risk Manager Junior are part of the reinforced context of regulatory for European market (ECB banking supervisory) , accounting and sound management requirements, relating to the supervision and review of models and their challenges.
In this role, you will be responsible to conduct works and reviews related to internal models of the bank :
Understanding of the credit life cycle, drivers of credit risk, model life cycle and basic understanding of components for computing RWA (PD, LGD, CCF, Correlation) and ECL to be able to challenge the LoD1
In-depth statistical understandings and application of statistical knowledge to day-to-day deliveries (reviews, transversal, etc.) encompassing but not limited to, econometric modelling using univariate and multivariate cross-sectional and time series and techniques to evaluate risk differentiation, risk quantification and stability aspects of model(s)
Manage intermediate level case studies and challenges with minimal supervision
Refer to governance/organization and regulation for the European market (BASEL, IFRS9, etc.)
Able to brainstorm and challenge to find the solution or escalate the problem. Taking initiatives and participates in the life of the team (regular participation in internal MRM workshops, sharing of his knowledge including technical, organization of events …)
Contribute to preparing presentations for model and expert committees
Interact with multiple stakeholders at Group level
Profil recherché
Studies & experience:Graduate with a Master degree from Business/Engineering School or University with a specialization in quantitative disciplines (Statistics, Economics, Mathematics & engineering)
General/good knowledge and strong interest in industry practices pertaining to model risk management, preferably credit risk domain along with basic regulatory understanding of Basel I/II/III/IV, CRR, IFRS9 and ECB guidelines and standards
Language skills:
Fluent in English
Technical, operational & soft skills:
Good communication and presentation skills : (i) clear and concise communication skills, (ii) listen actively, ask questions, and clarify points, and (iii) fluent in writing reports to deliver technical documentation
Very good programming and logical skills (SAS, R and/or Python)
Proficient/Good command of MS Office (Excel, Word, PowerPoint)