Job – Dexia – Risk Modeller

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Description

For the Risk Quantification & Reporting department, we are currently seeking a Risk Modeller.

Mission:

The mission consists of:

  • The quantification and pricing of the risks in the Dexia portfolios & entities (a.o. used for the financial plan, provisioning IAS39 & IFRS9, strategic exercises)
  • Quantitative decision support for active portfolio management: optimal   deleveraging and de-risking
  • Regulatory and economic capital modelling; development and implementation
  • Ad hoc pricing and risk tasks
  • You actively participate in the different risk quantification projects on model development & maintenance; and portfolio risk quantification in general. Relevant criteria for evaluation are the correctness of the development, business applicability and knowledge of the developed models

Responsibilities:

  • Regulatory and economic capital modelling for credit risk
    • Portfolio risk modelling, Credit Value-at-Risk, Earnings-at-Risk for strategic risk decision making and Basel II pillar 2 calculations.
    • Counterpart and transaction risk modelling (PD, LGD & EAD: Basel II pillar 1 and standard portfolio)
    • Multi-year economic loss predictions for financial planning
    • Dynamic provisioning parameters for credit losses and CVA (Basel III)
    • Point-in-time and through-the-cycle risk analysis
    • Back-testing, Stress testing of risk parameters and models
    • Presentation of internally developed systems and risk analyses towards end-users at Dexia and its entities; and towards internal/external control;
  • Modelling securitization products
    • Cash flow modelling RMBS tranches
    • Structured products modelling & pricing
    • Presentation of internally developed systems and risk analyses towards end-users at Dexia and its entities; and towards internal/external control;
  •  Credit risk valuation and pricing
    • Valuation models for credit/trading book positions (accounting, Basel III)
    • Credit Value Adjustment (CVA) models (Basel III)
    • Pricing models as a decision support models for de-risking
    • Presentation of internally developed systems and risk analyses towards end-users at Dexia and its entities; and towards internal/external control;

 Qualifications

  • University degree with financial quantitative background (business engineer, civil engineer, physicist, mathematician, PhD …).
  • Knowledge of financial markets
  • Expert in Matlab (or R), VB, Java (ou C++, C#)
  • 1 to 5 years of experience in Risk or Financial Markets related to credit.
  • English and French or Dutch
  • Quick-learning skills, Creativity, Autonomous, Team player, Strong communicative skills

Company Description 

Our staff are guided and driven by a number of important principles: the desire to surpass themselves, the courage to tackle challenges, and a thirst to learn.
With an eye to the wellbeing of the 1,400 or so men and women who make up the Group – mainly in France and Belgium – and to demonstrate that it is worthy of the guarantee granted by the Belgian and French States, Dexia SA has been involved since 2011 in a business dismantlement plan that was ratified by the European Commission at the end of December 2012.
As a European banking and financial group and historic lender on the local public sector financing market, Dexia is managing today the outstanding loans of its local public sector clients as well as its portfolio of high-quality long-term assets.
In France, Dexia Crédit Local is following an active policy of desensitisation of credits to the local public sector.
Opting to work with our company and sharing its aims means adding unparalleled human experience to your business process. Come on, join us today!

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