Mission

The new Basel II capital accord encourages banks to use internal risk measurements for the regulatory capital calculations.
My client will apply the advanced internal ratings based approach; which means that the credit risk parameters probability of default, loss given default and credit conversion factor, ... will be determined internally.

The person will work in the Basel II validation team.
He or she will co-operate with other members of the validation team on model validation (PD, LGD, CCF... ).
He or she will be in frequent contact with different development teams of the Group and will from time to time present the results of the validation to end-users and internal/external reviewers. *
The person will be able to learn state-of-the-art techniques for model validation/development and follow-up.
A very good knowledge of statistics is required.

Profile

At least 5 years of experience in a similar function,
background in statistics or relevant experience; strong quantitative skills,
experience in risk management; a background in credit risk management (and especially Basel II) is an asset,
good communication skills,
background in finance is an asset,
a balanced critical mindset,
good knowledge of English and either Dutch or French.

Location: Brussels or Paris.