Senior Data scientist (Team IFRS9 models) (m/f)

Aarbechtstitel:

Senior Data scientist (Team IFRS9 models) (m/f)

Firma

Banque Internationale à Luxembourg

Aarbechtsbeschreiwung

Founded in 1856, Banque Internationale à Luxembourg is the oldest multi-business bank in the Grand Duchy. From its foundation, the BIL has always played an active role in the development of the Luxembourg economy. It currently operates in retail, private and corporate banking, as well as on major capital markets. Employing more than 2 000 people, BIL is present in the financial hotspots that are Luxembourg, Switzerland, and China.
As a major player in Luxembourg’s finance industry and as a signatory of the UN Principles of Responsible Banking, BIL is committed to handing over a responsible and sustainable bank to future generations.Your next challenge: * IFRS9 Model Development and Maintenance:

• Develop and maintain credit risk quantification models, in alignment with IFRS9 Expected Credit Loss (ECL) requirements
• It encompasses design, implementation, documentation, and maintenance of the models
• ECL production and reporting:

• Assist in the production of modelled ECLs and overlays
• Provide analyses to different departments within the Bank
• Provide input to key reports
• Credit Risk Stress Testing:

• Conduct credit risk stress testing for the Internal Capital Adequacy Assessment Process (ICAAP) and participate in the EU-wide Stress Testing (EBA) initiatives
• Develop and improve Stress Testing models used to forecast BIL Group key risk indicators
• Macroeconomic Scenario Analysis:

• Perform comprehensive macroeconomic analyses to support the stress testing and projection processes within the Bank
• Assist in designing custom scenarios used for a wide range of purposes (e.g., ESG, Recovery Plan, Capital Plan)
• Compliance with internal and external requirements:

• Ensure that all models are developed, maintained, and regularly tested in accordance with internal procedures and standards
• Follow regulatory updates to ensure that the models are aligned with current requirements and foresee future enhancements
• Professional Documentation and Maintenance:

• Maintain all aspects of the models in a professional manner and ensure thorough documentation is completed for all processes

Your skills:– Mathematics, Statistics, Modelling, Economics, Computer Science, Data Analysis, Risk, Finance– Master’s degree in mathematics/actuarial science/finance/statistics/economicsPhD is a plus.– English / French– Experience with:– IFRS9 modelling– Stress Testing– Scenario analysis and designKnowledge of financial instruments and of banking products, banking credit activity, risk management techniques and more particularly of risk modeling and Credit Risk management.Advanced knowledge of the IFRS9 requirements– Advanced programming skills in PythonFamiliar with version control systems (Git)Knowledge of Dataiku is considered as an advantageAdvanced proficiency in MS Excel and SQL.– Self-starter attitude. Ability to work independently and to collaborate with multidisciplinary teamsAnalytical profile, rigorous and well-organizedResults-oriented mindset striving to deliver on timeProblem-solving skills– 5+ years in a similar roleBIL offers a broad range of challenging projects and a huge choice of career paths .We will assist you in finding the one that best meets your skills and expectations. Your personal development is our priority and we greatly encourage you to dive into different business areas for the broadest possible experience.
BIL is firmly of the opinion that diversity & inclusion contribute towards increasing the collective performance of the Bank. We are committed to creating a culture of inclusion that encourages individual development with equal opportunities for all.NB: The selected candidate will be asked to provide an extract from the criminal record (no.3) as evidence of integrity and justified with regard to the specific needs of the position to be filled. Other documents will be collected, to the extent legally permitted, to perform background checks.

Erwaart Pai

Location

Luxembourg

Job Datum

Wed, 23 Jul 2025 05:53:20 GMT

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