Quantitative Credit Risk Manager

Industry Sector:
International Public Sector
Type of contract:

Quantitative Credit Risk Manager

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Application closing date: 14 May 2018 by midnight (Paris time)

Quantitative Credit Risk Manager

Credit Risk Management Department / Directorate for Risk & Control

(Group II, A3/A4)

Vacancy Notice 09/2018

The Council of Europe Development Bank (CEB) is a multilateral development bank with a social mandate. The CEB contributes to financing the implementation of socially oriented investment projects through four sectoral lines of action, namely: strengthening social integration; managing the environment; supporting public infrastructure with a social vocation; supporting micro, small and medium-sized enterprises (MSMEs).

The Bank also plays an active role in the response to the migrant and refugee challenge in Europe.


Reporting to the Director of the Credit Risk Management Department (CRD), the Credit Quantitative Risk Manager will be in charge of managing the quantitative part of the CRD:

  • Internal Ratings
    • Organise and conduct the statistical validation of the Internal Rating Methodology
    • Coordinate technical maintenance of the internal rating system and implement changes
    • Develop, calibrate and back-test internal rating models
    • Develop, implement and maintain the Internal Risk Monitoring Framework
  • Probability of Default (PD) / Recovery Rates (RR)
    • Provide guidance for risk governance process on PD and RR
    • Develop and maintain methodologies related to calculation of PD of the CEB portfolios including default definition and monitoring
    • Develop and maintain methodology related to RR of the CEB portfolios
    • Update and implement PD and RR calculations
  • IFRS 9 – Provisioning Policy
    • Support development of IFRS9 Framework
    • Organise and conduct the operation calculation
    • Define and assess stress test scenarios
    • Ensure smooth running of IT tools
  • Capital Adequacy (Basel)
    • Support and enhance the Capital Adequacy Framework (Basel)
    • Organise and conduct the operational calculation
    • Define and assess stress test scenarios
    • Ensure smooth running of dedicated IT tools
  • Economic Capital Framework
    • Design and develop an Economic Capital Framework
    • Organise and conduct the operation calculation
    • Define and assess stress test scenarios
    • Provide guidance and expertise
    • Advise on the development and implementation of new credit risk policies and mitigation measures, and ensure the updating of the Credit Risk Policy Guidelines
  • Other Topics
    • Define and develop methodologies to assess, monitor and mitigate concentration at the portfolio level
    • Measure Value at Risk (Credit): methodology and calculation
    • Define credit risk reporting (portfolio analysis, key risk indicators, prudential framework),
    • Monitor best banking practices (including Basel and Audit recommendations) and align methodologies, procedures and systems accordingly
    • Contribute to drafting risk policy procedures /guidelines
    • Draft specifications for new IT infrastructure developments
    • Advise on more quantitative risk issues
    • Lead, motivate and coach staff members
    • Establish and maintain external contacts with relevant committees, network of high level experts and international institutions
    • Maintain contacts with the Bank’s Management and other Departments on various strategic issues.


Education: Post-graduate University diploma or equivalent in financial markets, banking and financial mathematics, econometrics or Applied Economics; PhD in any of these topics would be a plus.

Professional competencies: Minimum 7 years’ experience with a proven track record in Risk Management. Experience in a Financial Institution, consulting firm or in Multilateral Development Banks would be a plus. Specific emphasis given to mastering Probabilities of Defaults, Loss Given Default and Expected Loss related metrics and calculations. Excellent knowledge of banking regulatory requirements and best banking practices are also required.

IT skills: Excellent command of Risk Management IT tools; good knowledge of Moody’s (Fermat) IT software would be an advantage. Perfect command of business software and MS Office.

Linguistic skills: The minimum requirement is fluency in one of the Bank’s two official languages (English/French) and a basic knowledge of the other. Knowledge of other languages spoken in the Bank’s Member States would be an asset.

Personal skills: relational skills in varied hierarchical and cultural contexts; rigour, analytical and summary skills, interpersonal and teamwork skills.

Nationality: Citizen of one of the Bank’s Member States.

Conditions of employment

1) Contract: The CEB offers a 4-year appointment (including one-year probationary period) with, under certain conditions, the possibility of renewal.

2) Grade and salary:

  • Grade A3/A4• The remuneration package is composed by a tax free basic salary and applicable benefits.

3) Benefits (determined by the candidate’s personal situation):

  • basic family allowance
  • expatriation
  • dependent child supplement
  • one additional monthly dependent child supplement to a single-parent family
  • supplement for disabled and dependent parent subject to certain conditions
  • supplements for disabled or severely disabled child subject to certain conditions
  • education allowance (children) for expatriate staff members
  • installation allowance and reimbursement of travel and removal expenses subject to certain conditions

Recruitment Conditions

Within the framework of its rules on equal opportunity, the Council of Europe Development Bank strives to ensure equal representation of men and women among its staff, both per category and per grade. In compliance with these rules, in the case of equal merit, preference is given to the candidate of the underrepresented sex (at the time when the Selection Committee makes its recommendation).

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Council of Europe Development Bank (CEB)

The Council of Europe Development Bank (CEB) is a multilateral development bank with an exclusively social mandate. Through the provision of financing and technical expertise for projects with a high social impact in its member states, it actively promotes social cohesion and strengthens social integration in Europe.

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