Development, maintenance and backtesting of credit risk models used for analyzing the counterparty-level credit risk in the Dexia Portfolio (PD, LGD, EAD: Basel pillar 1 models and Standard portfolio).
Portfolio risk management (Credit Value-at-Risk, VaR) aimed at assisting strategic decision-making as part of Basel Pillar 2 calculations and periodically calibrating the parameters of portfolio management models.
Implementation, maintenance and use of models for provisioning under the IFRS9 accounting rules based on expected loss calculations.
Executing and analyzing stress test exercises for the top management; ICAAP files (regulatory view and economical view); the <>
Calculating and analyzing long-term projections of key risk parameters (losses in case of default, IFRS9 provisions, risk-weighted assets, liquidity reserves) under different base and stress scenarios
Production of the ICAAP file : maintenance of the risk cartography and evaluation of the integrated risk map: you integrate the contributions of the Credit Var (RMQD), Operational Risk VaR (Operational Risk colleagues and RMQD), , and market risk and the ALM stress (Market Risk colleagues) in a global risk view.
Used software : Matlab (computations) and SQL (database)
You hold a University degree with a quantitative/financial background (e.g. business engineer, civil engineer, physicist, mathematician, PhD)
You are able to focus on finding effective solutions that are applicable for Dexia's business, in a changing economic and regulatory environment.
At least 3 years of experience in risk quantification and/or Credit risk in a bank or financial institution