Société : Dexia Lieu : Brussels Brussels Site source : Talent BE
Since 1 January 2024, Dexia (formerly Dexia Crédit Local) has therefore continued its orderly resolution as a non-bank.
Dexia offers great diversity and a real transversality of business lines and missions which enrich the professional experience of its members of staff.
Joining Dexia is a promise to evolve in a dynamic environment and to stimulate your career by developing new skills! Within the Risk Department, you will work in the RMQD (Risk Models, Quantification and Defaults) team.
The RMQD team is responsible for the development and use of all quantitative credit risk models, both at counterparty and portfolio level.
The development is based on advanced statistical and mathematical modelling.
The models are used by the RMQD team itself for key regulatory and strategic exercises, ranging from quarterly IFRS9 expected credit loss calculations, projections of the key risk measures in the financial plan, stress testing and the integrated ICAAP file of the bank.
More specifically, the projects cover:
• The development, maintenance and backtesting of the internal credit risk models, which are used for analyzing the counterparty-level credit risk in the Dexia Portfolio.
This implies the construction of rating migration, PD and LGD models, covering the whole process from data collection & treatment, discrimination analysis and calibration of the risk levels up to implementation (both long-term Through-The - Cycle and Point-In-Time macro-economic models).
• The calibration of the parameters of the internally developed portfolio management tool which assesses the portfolio tail risk (Credit Value-at-Risk, VaR).
These include a.o.
the calibration of stochastic PD and LGD, the asset correlation structure and global maintenance/updates of the portfolio management tool to reflect the portfolio's risk dynamics.
• The production of strategic long-term and/or stress test results for top management.
The RMQD team assists in the development of the different base and stress scenarios and is responsible for the calculation of all credit risk impacts (a.o.
losses in case of default, IFRS9 provisions, risk-weighted assets).
On other risks (such as operational and market risk) the RMQD team is responsible for the collection and aggregation of the relevant results from the other Risk teams in order to produce the global risk view across the bank and its entities under all base and stress scenarios.
• The development and follow-up of the credit risk indicators within Dexia's Risk Appetite Framework.
All the above mentioned models and tools are built and maintained within RMQD inside the Matlab environment, while the data treatment is mainly based on SQL.
• You hold a University degree with a quantitative and/or financial background (business/financial engineer, civil engineer, physicist, mathematician, etc.).
• You speak english, french and dutch.
• You have at least 3 years of experience in risk quantification and/or Credit risk in a bank or financial institution, or have an equivalent working experience, such as a PhD in your domain.
• You have a good knowledge on statistics/mathematics, as well as in financial products & markets and/or credit risk, or are willing to invest in the latter.
• You are comfortable with programming/model development in Maltab (or equivalent tools like Python) and SQL.
• You are able to push the team forward and contribute to the team dynamics, while at the same time being able to work on an individual basis.
• You are able to focus on finding effective solutions that are applicable for Dexia's business, in a changing economic and regulatory environment. Dexia BrusselsBrussels
