Supervisors in the Internal Models Division (Market Risk and Counterparty Credit Risk)

Location
Frankfurt
Salary
Competitive
Posted
31 Jul 2017
Closes
14 Aug 2017
Experience Level
Management
Contract Type
Contract, Full time

Supervisors in the Internal Models Division (Market Risk and Counterparty Credit Risk)

Reference: 2017-192-EXT S

Functional area: Micro-Prudential Supervision IV

Function:

The ECB is an integral part of the Single Supervisory Mechanism SSM, composed of the European Central Bank and national competent authorities of 19 Euro area countries.

You will be part of the Internal Models Division of the Directorate General Micro-Prudential Supervision IV, which 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 the consistency of the model assessment reports and preparing the 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 on model-related questions as subject matter expert on Pillar 1 models. Furthermore, the Division participates in the further development of internal model-related regulations, supervisory policies and methodologies in cooperation with the supervisory policy and methodology function.

The Division is composed of three sections, two sections concerned with credit risk and operational risk models, and one section focused on market risk and counterparty credit risk models. We are now seeking candidates with profiles in market risk and counterparty 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 market risk and counterparty credit risk models;
  • develop supervisory standards and methodologies as well as draft and present policies and procedures with regard to the approval and ongoing supervision of internal models;
  • participate in relevant (international) working groups and in the establishment and maintenance of regular contact with all strategic partners and counterparts in supervisory authorities, institutions and bodies;
  • ensure overall consistency in the approaches specified and decisions taken regarding the supervision of credit institutions’ internal models (e.g. including 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 these 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 (e.g. on Fundamental Review of the Trading Book (FRTB), ongoing model monitoring) and design and develop presentations and documents to communicate project proposals, results or key messages to main stakeholders, e.g. senior management;
  • develop, maintain and enhance model-related information collections (e.g. databases) and perform data analysis to provide horizontal support.


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, as mentioned above) 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 as well as developing proposals to address regulation interpretation issues;
  • ideally experience in leading projects or defining and implementing business processes related to internal models;
  • 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 below 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. Next to this you know your stakeholders’ needs and how to anticipate them and you will think analytically and challenge constructively.

Further Information:

We offer one fixed-term contract which may be converted into a permanent one after three years subject to individual performance and organisational needs and one fixed-term contract of maximum 3 years duration, which may be extended subject to individual performance and organisational needs.

Working for the SSM comprises working for short periods of time abroad in the context of regular business travels, trainings or on-site visits. This is an important characteristic of our jobs complemented by an environment in which wellbeing/work-life balance is enabled.

Working for the SSM also implies collaborating in multi-national and -cultural teams and in the context of different national frameworks. Therefore a strong ability to use other EU working languages for business purposes is 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.

For more information and to apply, please visit: https://www.ecb.europa.eu/careers/vacancies/html/vacancydetails.en.html?id=005056853E201ED79C8A432F0B57957D

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: Mon, 14 Aug 2017