V.I.E - Risk Modelling Trainee (M/F)
15 dagen geleden


Dexia invites you to partake in a new experience : manage a portfolio of good quality assets in the long term in a bank in orderly resolution!

A European banking and financial group and historical lender on the local public sector financing market, Dexia has since 2011 been pursuing a dismantling plan approved by the European Commission at the end of December 2012.

Today, Dexia no longer has any commercial activity but is managing the outstanding balances of its customers and its long-

term asset portfolio by protecting the interests of the shareholding States and guarantors.

To take up this challenge, Dexia recruits throughout the year candidates who have curiosity, a penchant for challenge and team spirit.

Joining Dexia means joining a company on a human scale, in a unique context, with the stakes of a multinational.

If you are looking for a task that makes sense, love challenges and share our values of cohesion, professionalism and adaptability, come and join us!

Main Mission :

Develop and test credit risk rating and LGD models (Basel pillar 1 & IFRS9), portfolio models (Basel pillar 2) and participate to the calibration of credit risk parameters.

Apply these models for stress testing, portfolio analysis and risk projections.

Description :

The bank’s credit models take into account the changing economic environment, upcoming risks and banking regulation. You will be involved in the development and maintenance that include :

  • Develop and test models for credit risk transaction analysis and pricing.
  • Periodical recalibration of main parameters of the credit portfolio models.
  • Contribute to the maintenance of the IFRS9 expected loss impairment model.
  • Update the risk parameters to the new default definition.
  • Regulatory Q&A : On site inspections, TRIM.
  • Participate to the implementation of stress tests and analyses.
  • Compute and report long-term predictions of key risk measures (a.o. default losses, statistical provisions, risk-weighted assets, ECB liquidity reserve) under different stress scenarios.
  • The position involves state-of-the-art modelling for active risk management. This is a perfect first experience in the quantitative framework, in a multi-

    cultural environment within a highly motivated team.


    Quantitative / technical background :

  • University degree with a strong quantitative orientation ("grande école", mathematics, commercial engineering, statistics, physics).
  • Preference for specific orientation in Financial Mathematics, Risk & Financial Engineering or similar with experience in one or more domains :
  • Empirical statistics : regression analysis, nonlinear models
  • Stochastic & Probabilistic methods applied to Finance
  • Quantitative Portfolio Management
  • Optimization techniques
  • Simulation of processes to price securities
  • Risk measures & management
  • Job Posting

    Feb 1, 2019, 10 : 31 : 59 AM

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