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:
- In close collaboration with the Financial Markets department, BIL's Market and Liquidity Risk Management Risk Management (MLRM) oversees various activities in relation to market, liquidity and counterparty risks. In this respect, the department notably represents the 2nd line of defense in regards to the Interest Rate Risk in the Banking Book (IRRBB). The dedicated IRRBB team is responsible for:
- Maintaining the MLRM environment and IT risk tools in line with regulations and responding to requests from the Regulator related to interest rate risk, the new benchmark rate reform regulation (IBOR transition) and the IRRBB scope;
- Producing & Automating regulatory and internal risk reports;
- Monitoring the risk indicators related to interest rate risk of BIL Group (EVE, NII…) ;
- Developing and running stress test scenarios.
- Produce and analyse the IRRBB indicators;
- Participate to the implementation of the net interest income stress test;
- Maintain the risk management tool (RCO ALM) configuration and upgrades with respect to new regulatory requirements, new models implementation and data mapping.
- Handle hot topics such as regulatory requirements or specific demands from the management related to the IRRBB.
- Actively participate to the current migration of core banking system and the maintenance of databases related to IRRBB and market data;
- Put in place regular controls to ensure consistency between risk reports and the Finrep;
- Ensure the documentation of the department processes and procedures;
- Develop, refine and automate reports and methodologies dedicated to IRRBB assessment (EVE, NII, CSRBB);
- Together with ALM and Risk teams, support the modelling of non-maturing deposits, prepayment and non-performing exposures;
- Take part in the overall risk reporting process, including SREP; ICAAP, Pillar III and annual report contributions, and provide analyses to meet regulatory and management requirements;
- Contribute to the ALCO preparation;
- Participate to the EU-wide stress testing (EBA) related to the net interest income stream
- In close collaboration with IT, project teams and the ALM department, participate to the migration from Fermat ALM to RCO ALM;
- Take over & implement the findings from Internal Audit, Internal Validation and Regulatory requirements.
Your skills:
- A master's degree (or equivalent) in Finance/IT/Economy/Mathematics;
- A minimum of 3 year experience in the Financial Risk Management or Asset and Liability Management department.
- Familiar with IT tools for interest rate risk management or ALM. Knowledge of RCO ALM and Moody's tools will be considered a plus
- Good knowledge of the IRRBB regulation (BCBS and EBA's texts/directives);
- Good understanding of a universal bank balance-sheet structure;
- Strong knowledge of interest rate mechanism and interest rate products;
- Knowledge in computing and analysing IRRBB metrics or banking book monitoring;
- Ability to handle multiple tasks and prioritize accordingly;
- Advanced proficiency in MS Excel/VBA is mandatory;
- knowledge of Moody's analytics tools (RFO Master/RCO ALM), Business Object, Dataiku, SQL and Python is an advantage;
- Fluent in French and English.
- Be ready to become a long term MLRM ambassador !
- Positive attitude is essential !
- "Builder" mindset
- Eager to learn, to develop and to share
- Analytical profile, rigorous and well-organized
- Ability to code into database and relevant project management experience
- Innovative and creative, able to conceptualize
- Results-oriented mindset striving to deliver on time
BIL 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.
