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Market Risk Analyst (Team IRRBB) (M/F)

Market Risk Analyst (Team IRRBB) (M/F)

Founded in 1856, Banque Internationale à Luxembourg (BIL) is the oldest multi-business bank in the Grand Duchy. It has always played an active role in the main stages of development of the Luxembourg economy. It currently operates in retail, private and corporate banking, as well as on financial markets. Employing more than 2,000 people, BIL is present in the financial centres of Luxembourg, Switzerland, and China.


In close collaboration with the Financial Markets department, BIL's Market and Liquidity Risk Management Risk Management (MLRM) oversees various activities in relation to market, liquidity and counterparty risks. In this respect, the department notably represents the 2nd line of defense in regards to the Interest Rate Risk in the Banking Book (IRRBB). The dedicated IRRBB team is responsible for:

  • Maintaining the MLRM environment and IT risk tools in line with regulations and responding to requests from the Regulator related to interest rate risk, the new benchmark rate reform regulation (IBOR transition) and the IRRBB scope;
  • Automating the regulatory and risk reports;
  • Monitoring the risk indicators related to interest rate risk of BIL Group (EVE, NII…) ;
  • Developing and running internal and regulatory stress test scenarios.


As IRRBB expert you will:

  • Actively participate to the current migration of core banking system and the maintenance of databases related to IRRBB and market data;
  • Maintain the risk management tool (RCO ALM) configuration and upgrades with respect to new regulatory requirements, new models implementation and data mapping. Ensuring the well performance of the risk IT tools;
  • Ensure the documentation of the department processes and IT data flows;
  • Produce and analyse the IRRBB indicators;
  • Handle hot topics such as regulatory requirements or specific demands from the management related to the IRRBB.

What will you do? 

Key accountabilities:

  • In close collaboration with IT, project teams and the ALM department, participate to the migration from Fermat ALM to RCO ALM;
  • Develop, refine and automate metrics and methodologies dedicated to IRRBB assessment (EVE, NII, CSRBB);
  • Together with ALM and ERM teams, support the modelling of non-maturing deposits, prepayment and non-performing exposures;
  • Take part in the overall risk reporting process, including SREP; ICAAP, Pillar III and annual report contributions, and provide analyses to meet regulatory and management requirements;
  • Contribute to the ALCO preparation;
  • Participate to the EU-wide stress testing (EBA) related to the net interest income stream
  • Take over & implement the findings from Internal Audit, Internal Validation and Regulatory requirements.
must have requirements

Diploma / experience

  • A master’s degree (or equivalent) in Finance/IT/Economy/Mathematics;
  • A minimum of 3 year experience in the Financial Risk Management or Asset and Liability Management department.

Knowledge and experience:

  • Strong experience with RCO ALM and Moody’s tools;
  • Good knowledge of the IRRBB regulation (BCBS and EBA’s texts/directives);
  • Good understanding of a universal bank balance-sheet structure;
  • Strong knowledge of interest rate mechanism and interest rate products;
  • Knowledge in computing and analysing IRRBB metrics or banking book monitoring;
  • Ability to handle multiple tasks and prioritize accordingly;

Technical skills:

  • Advanced proficiency in MS Excel/VBA is mandatory; knowledge of Moody’s analytics tools (RFO Master/RCO ALM), Business Object, Dataiku, SQL and Python is an advantage;
  • Fluent in French and English.


Interpersonal skills: 

  • Be ready to become a long term MLRM ambassador !
  • Positive attitude is essential !
  • “Builder” mindset
  • Eager to learn, to develop and to share
  • Analytical profile, rigorous and well-organized
  • Ability to code into database and relevant project management experience
  • Innovative and creative, able to conceptualize
  • Results-oriented mindset striving to deliver on time
We offer

BIL offers a broad range of challenging projects and a huge choice of career paths - we will assist you in finding the one that best meets your skills and expectations. Your personal development is our priority and we greatly encourage you to dive into different business areas for the broadest possible experience.

BIL is firmly of the opinion that diversity & inclusion contribute towards increasing the collective performance of the bank. We are committed to creating a culture of inclusion that encourages individual development with equal opportunities for all.


NB: The selected candidate will be asked to provide an extract from the criminal record (no.3) as evidence of integrity and justified with regard to the specific needs of the position to be filled.


To be considered for this position it is crucial that you have knowledge of the following languages
  • Read C1 Advanced
    Write C1 Advanced
    Speak C1 Advanced
  • Read C1 Advanced
    Write C1 Advanced
    Speak C1 Advanced
minimum required Education
Required work experience in years
3 or more years
Employment type
Contract type
Hours per week
Risk Management

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