Credit Risk Modeler

工作内容

Division

The Risk Management (RM) division is a central part of Euroclear’s second line of defence and its mission is to support Euroclear in achieving its goals and delivering its strategy through providing robust, independent oversight of risk-taking activities across the Group. We are a team of around 80 risk professionals, based across a number of locations, including Brussels, London, Paris, Hong Kong and Krakow. Our activities cover the entire Euroclear group.

Role & responsibilities

You will join the Capital Modelling team, which is part of the Risk Management division.

The Capital Modelling team provides quantitative support to the Risk Management division and relevant governance committees in measuring, monitoring and reporting risks at Euroclear.

As part of your role:

• Together with other credit risk modellers, you will be responsible for the development, maintenance and documentation of credit risk models used at Euroclear (PD models used as part of F-IRB and Economic Capital models).
• You will play a crucial role in the monitoring and assessment of credit risk by executing model runs, analysing its output and reporting its results
• You will perform independent risk analysis based on business projections, new strategic opportunities and/or product development
• You will support various risk management processes (e.g. ICAAP, Stress Testing, etc.) and be responsible for model presentations and justification to internal validation, internal audit and external supervisory inspections.

Required qualifications

• You have worked in the financial industry or related financial services and have proven experience in credit risk modelling
• You have extensive experience in coding (R and Python)
• You have strong analytical, problem-solving and execution skills
• You have strong writing skills, including writing detailed modelling documentation and high-level business oriented summaries
• You are able to able to convey technical concepts to a non-technical audience
• You are adaptable and flexible to evolving business needs, objectives and priorities
• You speak English fluently and expertly in a professional environment

Good to have:

• You are familiar or have experience with capital and stress testing models related to more than one risk type (credit, market, operational, business, pension risk, etc.)
• You are familiar or have experience with relevant accounting rules, such as IFRS9
• You are familiar with the business and risk profile of financial market infrastructures, or have prior experience working for an FMI or custodian bank.
• You have good knowledge of European regulation and guidelines related to credit risk modelling (Capital Requirements Regulation, EBA Guidelines on IRB, etc.)
• You have obtained a risk or financial professional certification (e.g., FRM, CFA)

Why join us

Embark on your new adventure at Euroclear, and work at the heart of the global capital markets. We connect over 2,000 financial institutions across the globe. As an open and resilient infrastructure, we contribute to the stability of the financial markets. We help clients cut through complexity, lower costs, and mitigate risks of financial transactions. At Euroclear, we have the a clear ambition to use our key role to facilitate and accelerate a sustainable global financial system. Join us and work closely with inspiring, supportive and engaged colleagues from more than 80 different countries. Develop your talents while interacting with people at all levels across the organisation. We are growing, and so will you!

New ways of working

Find your own optimal balance within our hybrid working model, where you can connect at the office and also benefit from remote working.

Great Place to Work for All

We are committed to creating an inclusive culture that celebrates diversity, and strive to be a Great Place to Work for All. All qualified applicants will be considered for employment, regardless of any aspect that makes them unique (including race, religion, national origin, gender, sexual orientation, age, marital status, pregnancy, disability, ...). If you need any specific accommodation due to disability or any other reason, you can let the recruiter know during your application process.