Credit Risk Modeler M/F

Our client, an European Institution, is looking for a Risk Credit Modeler M/F who speaks English, to integrate the team Risk who is seeking an experienced quantitative analyst to support the senior analyst and take over the team’s regular quantitative deliverable. This is a temporary contract for a period of 9 months.

The candidate conducting with a high degree of autonomy regular model runs (using existing models) for the calculation of Expected Loss, Value at Risk, Expected Shortfall and other standard portfolio credit risk metrics. As a rough indication, the team may be asked to run these metrics on 20 portfolios over several iterations, which may ultimately result in over 250 calculations over a year. The candidate helps the senior quantitative analyst in the Design, Implementation and Maintenance of quantitative tools for the risk assessment and pricing of risk in different capital positions in Investment Portfolios across different asset classes, including debt and equity exposures.

He supports the design, calibration and prototyping of portfolio models (mainly credit, some equity) according to best banking practices, and act as a quantitative and operational support. He maintains the existing LHP (Large Homogeneous Portfolio) model and act as the point of reference and support regarding the model and the tool. The candidate takes full responsibility to organize demos and timely respond to questions and queries from users, adapting the communication to the technical level of the users.

The candidate has to drafts and maintains at least two “model manuals”, one for internal experts and another for non-technical users, including external parties (handling carefully confidential / sensitive information). He is also the main stakeholder for the bank’s Internal Validation team and reply to any of their technical queries . The candidate proactively acts as a point of contact for internal and external queries related to risk assessment/measurement and pricing with both expert and non-expert stakeholders (weekly calls). Adapt communication to audiences with varying degrees of technical knowledge. Moreover the candidates provides input to ad-hoc analysis and written communication on specific risk pricing and portfolio modelling matters to senior management or external bodies, adapting the communication style/language to the audience’s level.

The ideal candidate has a university degree, in mathematics, quantitative finance or computer science with at least 3 years’ of experience in quantitative risk modelling, preferably in relation to credit risk (market and counterparty risk would be considered), and ideally in structured credit (CDO / tranche products) and/or portfolio modelling.
Integrity, analytic rigour, team spirit and capacity to work with and communicate with non-technical staff is a must. The candidate is independent with a good capacity to plan, organize and prioritize work in a heavy workload environment and he know how to be pro-actives.

The candidate is a critical-thinking and design of technical solutions to non-standard problems. He has an excellent programming skills and knowledge of Excel / VBA. Python would be an advantage but other programming languages (Matlab, R, C#) would be considered as well. The candidate has a solid IT background and ability to work with large data sets (database / SQL, Python Pandas). He is also familiarity with COREP reports, Large Exposure framework, bcbs239, Stress Testing, Capital and Planning activities would be considered an asset. Moreover and other EU Language such as French is an advantage. #1290880
Click here to access HAYS Privacy Policy, which provides detailed information on how we use and protect your personal information, and your rights in relation to this.


Job Type
Banking and Insurance
Depends on profile

Talk to a consultant

Talk to Christelle Behi, the specialist consultant managing this position, located in Luxembourg
Hays, 65 Avenue de la Gare

Telephone: 26865450