Senior Quantitative Analyst (M/F) (Pillar 2 Models Team)
Veröffentlicht am 30/12/2025
Banque Internationale à Luxembourg (BIL)
- Luxembourg (Canton), Luxembourg
- Bankwesen
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.
As a Senior Quantitative Analyst in Risk Management, you will play a critical role in the development, validation, and implementation of Pillar 2 risk models. You will leverage your expertise in quantitative analysis to enhance the bank's risk assessment capabilities while ensuring compliance with regulatory requirements. Your insights will contribute to the strategic decision-making process and help shape the bank's risk management framework.
Your next challenge:
Implement and monitor the quantitative aspects of BIL group ICAAP and ILAAP processes.
- Deploy a robust Economic Capital framework, covering the material risks of the Bank, and contributing to the Bank's Capital & Liquidity Planning.
- Development or improvement of models to cover BIL Group material risks (notably Credit Risk and Market Risks). It encompasses design, implementation, documentation, and maintenance of the models.
- Continuous improvement of the models and documentation.
- Addressing recommendations issued by internal and external stakeholders.
- Ensuring the compliance with the Bank's Data Quality Framework.
- Regular reporting of the ECAP figures and stress tests outcomes as part of the Bank's ICAAP/ILAAP process.
- Stress Testing models: Development or Improvement of Stress Test models to forecast BIL Group key risk indicators. It encompasses design, implementation, documentation, and maintenance of the models. It includes notably the forecasting of Net Interest Income and Credit Risk losses.
Provide quantitative expertise to the Risk Management and to other departments of the bank.
- Design models or quantitative tools used by internal stakeholders for business/financial/risk management. The tasks include the development, testing, implementation, documentation of models.
- A list of models managed by the team include: the NMD and Prepayment models for the IRRBB framework, the Financial Haircuts model, the CVA/DVA parameters in the context of IFRS 13. The activity includes the design, implementation, documentation, and maintenance of the models.
- Maintain and improve the Bank's RAROC tool, support users regarding methodological and technical matters.
- Provide quantitative advisory.
- Education:
- Experience:
- Skills:
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. Other documents will be collected, to the extent legally permitted, to perform background checks.
