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Senior Quantitative Analyst - Pillar 2 Models (M/F)

Luxembourg

EUR 48K-68K (estimate) Senior-level Full Time

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Found 1mo ago

Tasks

Build and maintain RAROC tool
Conduct stress testing model development
Deploy and monitor economic capital framework
Design and maintain credit risk models
Design and maintain market risk models
Develop and implement Pillar 2 risk models
Develop quantitative tools for risk management
Ensure ICAAP and ILAAP model compliance
Ensure compliance with data quality framework
Forecast net interest income and credit risk losses
Produce regular reporting for economic capital and stress tests
Provide quantitative advisory
Validate risk models

Perks/Benefits

N/A

Skills/Tech-stack

Credit Risk | Data Quality | Dataiku | Economic Capital | Git | ICAAP | ILAAP | IRRBB | Income Forecasting | Interest income | MS Excel | Market Risk | Net Interest Income Forecasting | Net interest income | Python | RAROC | SQL | Stress Testing

Education

Master of Science | PhD

Roles

Analyst | Quantitative Analyst | Senior Quantitative Analyst

Regions

Countries

States

Cities

Luxembourg, Luxembourg, LU

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