Supervisors in the Internal Models Division (Credit Risk and Operational Risk Models)

Location:
FRANKFURT AM MAIN, Germany
Industry Sector:
International Public Sector
Type of contract:
Contract
Salary:
Competitive

Supervisors in the Internal Models Division (Credit Risk and Operational Risk Models)

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Function:

The ECB is an integral part of the Single Supervisory Mechanism (SSM), along with the national competent authorities of the 19 euro area countries.

You will be part of the Internal Models Division of the Directorate General Microprudential Supervision IV, whose main task is to ensure the consistency of supervisory approaches and the uniform implementation of internal models used by credit institutions. This is achieved by checking that the model assessment reports are consistent and preparing draft decisions on internal model investigations, which are submitted to the Supervisory Board.

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.

It also participates in the development of internal model-related regulations, supervisory policies and methodologies.

The Division is composed of three sections – two concerned with credit risk and operational risk models, and one focused on market risk and counterparty credit risk models. We are currently seeking candidates with profiles in credit risk models.

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

As Supervisor in the Internal Models Division you will:

  • check the consistency of model assessment reports and prepare the draft decisions on internal model investigations of credit risk models;
  • develop supervisory standards and methodologies as well as draft and present policies and procedures concerning the approval and ongoing supervision of internal models;
  • participate in relevant (international) working groups and in establishing and maintaining regular contact with all strategic partners and counterparties in supervisory authorities, institutions and bodies;
  • ensure overall consistency in the approaches specified and decisions taken regarding the supervision of credit institutions’ internal models (including, for example, the targeted review of internal models – TRIM);
  • design tools that promote convergence and assess the adequacy of models;
  • participate in on-site and off-site internal model investigations, using them as an opportunity to gain an understanding of different practices and to ensure that common practices are adopted;
  • provide advice in the relevant areas of competence to support the JSTs and management;
  • prepare notes, memos, external publications and dossiers for the Supervisory Board and the ECB’s decision-making bodies;
  • organise and lead projects (including, for example, the review of the definition of default and ongoing model monitoring) and design and develop presentations and documents to communicate project proposals, results or key messages to principal stakeholders, e.g. senior management;
  • develop, maintain and enhance model-related information collection (e.g. databases) and perform data analysis.

Qualifications and experience:

You will bring to the role:

  • a master’s degree in a relevant field, preferably mathematics, physics, economics, statistics, finance or econometrics, or a bachelor’s degree in one of these fields, combined with at least four years of relevant professional experience;
  • three to five years of professional experience (or seven to nine in the case of a bachelor’s degree) 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 drafting or assessing model-related technical documentation or data;
  • ideally, 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 would be an asset;
  • proven experience and/or knowledge of building or reviewing internal models;
  • proven experience in preparing and giving structured and convincing presentations on project proposals, results or key messages of a technical or operational nature to various stakeholders;
  • ideally, 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 command of English with proven drafting ability and an intermediate command of at least one other official language of the EU.

Proven experience in the following competencies would be considered an asset:

  • working with a statistical software package and databases;
  • internal modelling expertise in a commercial bank.

Competencies:

You will also bring your ability to engage with others, pursue team goals, draw on the strengths of the diversity of your team to get the best results and facilitate change. In addition to this you will know your stakeholders’ needs and how to anticipate them and you will think analytically and challenge constructively.

Further Information:

Fixed-term contract which may be converted into a permanent one after three years subject to individual performance and organisational needs.

Fixed-term contract of maximum 3 years duration, which may be extended subject to individual performance and organisational needs.

Working for ECB Banking Supervision can require you to spend short periods of time abroad for regular business trips, training courses or on-site visits. This is an important part of our job and is complemented by an environment that supports wellbeing and work-life balance.

You will also work with colleagues in multinational and multicultural teams and in the context of different national frameworks, so a strong ability to use other EU working languages for business purposes would be an asset.

How to apply:

Applications are to be made in English and submitted using our online application form. An “Applicants’ Guide” can be downloaded from our recruitment pages.

The recruitment process may include a pre-screening exercise, a written exercise, a presentation and interviews.

Further information on the ECB’s conditions of employment for fixed-term positions can be found at https://www.ecb.europa.eu/careers/what-we-offer/contract/fixed/html/index.en.html

Applications are accepted from nationals of Member States of the European Union.

The requirements laid down in the vacancy notice must be met by the closing date for applications.

This vacancy notice may be used to fill the same position again, or similar positions, within 12 months of the selection decision.

This position has been allocated to salary band: F/G

Closing Date for Applications: Wed, 23 Aug 2017

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European Central Bank (ECB)

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