Internal Models Supervisor (Market Risk and Counterparty Credit Risk)

Location:
Frankfurt am Main, Germany
Industry Sector:
International Public Sector
Type of contract:
Contract
Salary:
Competitive

Internal Models Supervisor (Market Risk and Counterparty Credit Risk)

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Your team

You will be part of the Internal Models Division (INM) in the Directorate General Microprudential Supervision IV (DG MS IV). Our Division has about 45 members of staff, whose main task is to ensure the consistency of supervisory approaches and the uniform implementation of internal models used by credit institutions in the SSM. The Division provides support to the Joint Supervisory Teams (JSTs) on ongoing model monitoring and model-related questions as a subject matter expert on Pillar 1 models. We are currently working on high impact projects, such as the Targeted Review of Internal Models (TRIM), the Fundamental Review of the Trading Book (FRTB) and the preparation for the assessment of models of Brexit banks.

The Division is composed of three Sections, one of which focuses on market risk and counterparty credit risk models. We are currently seeking candidates for this Section.

In your role as Internal Models Supervisor in the Market & Counterparty Credit Risk Section, you will be part of a quality driven and enthusiastic team of 14 members of staff and work closely with JSTs, national competent authorities (NCAs), model experts and other DG MS IV divisions. The Single Supervisory Mechanism (SSM) refers to the system of banking supervision in Europe. It comprises the ECB and the national supervisory authorities of the participating countries.

To further enhance the diversity of our team, we particularly encourage applications from female candidates.

Your role

As an Internal Models Supervisor you will:

  • ensure overall consistency in the approaches specified and decisions taken regarding the supervision of credit institutions’ internal models for market risk and counterparty credit risk;
  • develop supervisory standards and methodologies as well as draft and present policies and procedures concerning the approval and ongoing supervision of internal models;
  • organise projects and participate in relevant (international) working groups (e.g. FRTB, Brexit, TRIM, ongoing model monitoring). This includes establishing and maintaining regular contact with all strategic partners and counterparties in the supervisory authorities, institutions and bodies;
  • participate in on-site and off-site internal model investigations, to gain an understanding of different practices and to ensure that common practices are adopted;
  • provide advice on market risk and counterparty credit risk internal models to support the JSTs and management;
  • develop, maintain and enhance model-related information collection (e.g. databases) and perform data analysis

The position offers you excellent opportunities to work in a highly motivated and skilled team of market and counterparty credit risk model experts. You will be part of a multicultural team that strives for continuous innovation to make a positive impact on the lives of European citizens.

Qualifications, experience and skills

Essential:

  • a master’s or PhD degree in a relevant field, preferably mathematics, physics, economics, statistics, finance or econometrics;
  • in addition, a minimum of three years of professional experience in banking, banking supervision, financial stability, financial or legal services, or in the coordination of relevant internal and international policies or related consulting services;
  • proven experience in building or reviewing internal models for market risk and/or counterparty credit risk and in drafting or assessing model-related technical documentation or data;
  • a good understanding of the Capital Requirements Directive IV (CRD IV) and the Capital Requirements Regulation (CRR), as well as of associated technical standards;
  • an advanced-level command of English and an intermediate command of at least one other official language of the EU.

Desired:

  • proven experience in drafting procedural documents and developing proposals to address regulation interpretation issues;
  • experience in leading projects or defining and implementing business processes related to internal models;
  • working with a statistical software package and databases.

Behavioural competencies:

  • You engage collaboratively with others. You pursue team goals and learn willingly from other people’s diverse perspectives. You signal any need for change by explaining it and proposing alternative solutions. You analyse complex information effectively and can evaluate different views to arrive at solutions. You know and anticipate stakeholder needs.

Working modalities

Working for European banking supervision involves spending short periods of time abroad for on-site visits or training. This important part of our work is complemented by an environment in which well-being and a good work-life balance are fostered. Playing a role in European banking supervision also entails collaborating in multinational and multicultural teams and operating in the context of different national frameworks, for which a strong ability to use different EU languages for business purposes is an asset.

Further information

The formal job title for the advertised position will be Supervisor.

The appointment is for three years as of the exact starting date of the selected person.

For additional information you have the opportunity to contact Jan Kroot on Tuesday, Head of Section Market & Counterparty Credit Risk, 8 January between 12:00 and 13:00 or on Thursday 18 January between 12:00 and 13:00 on +49 (0)69 13443320.

The recruitment process for this position may include an on-site written exercise, a presentation and panel interviews.

Closing date for applications: 24 January 2018

European Central Bank (ECB)

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