Experienced Risk Officer, Model Validation - Luxembourg

Deadline for application: 1 January 2023
Duration: four-year fixed term contract, with possibility of extension.
Location: Luxembourg
Current working arrangements: possibility to work remotely, normally around two days a week, from Luxembourg and the border region (or from further away under certain conditions)

We are looking for Experienced risk officer to review and validate quantitative financial models in use by the ESM, including activity on market risk, liquidity risk, credit risk, asset and liability management, and financial planning models.
The selected candidate will also support the development of new models in non-financial risk areas such as operational risk measurement, risk transfer techniques, and ESG risk factors. The selected person will report to the Head of Risk Management.

The ESM is the permanent crisis resolution mechanism for euro area countries. It provides financial assistance to Members facing financing difficulties. European leaders have agreed to an expanded mandate for the ESM, which it will implement in the years ahead.
The ESM will have a stronger role in the analysis of financial stability risks and design of policy measures in programmes, jointly with the European Commission; it will provide the Single Resolution Board with a financial backstop to support effective and orderly resolution of banks.

In the context of the current Covid-19 crisis, the ESM has established a precautionary credit line as one important element in the joint European response to the pandemic.

The ESM is a unique place to work with around 220 individuals from around the world committed to making a difference to the future of the euro area. It recruits talented professionals of any nationality from both the private and public sector.


Inventories of internal models
  • Regularly review and update inventory of models in liaison with related business units
  • Risk rate the models to identify those in scope of validation activities, according to internal policies
Model validation reviews
  • Assess business units' documentation in line with business practices
  • Understand and analyse the quantitative models to be validated
  • Perform back testing of the models' outputs
  • Prepare model validation reports, including recommendations and potential improvements, to be presented to the Internal Risk Committee
  • Monitor the implementation of the recommendations, regularly reporting the status to the Head of Risk Management
  • Collaborate with several ESM divisions, such as Investment, Funding, Asset and Liability Management, and Middle and Back Office on matters related to modelsaccording to internal policies
Risk models' development activities
  • Support the design and development of new models for the Risk Management division
  • Support the improvement in data management and automation of activities related to risk models
  • Advanced university degree in a relevant field such as statistics, engineering, quantitative finance, or economics
  • At least eight years of relevant professional experience in risk management or audit, preferably in a financial institution
  • Experience in developing and or validating financial models is required
  • Experience in back testing, using quantitative and statistical techniques, is required
  • Advanced Excel skills, VBA, and Python are required
  • Experience in derivatives evaluation and modelling is an asset
  • Excellent oral and written English skills; any additional language would be an asset
  • Analytical and problem-solving skills
  • Rigour and attention to detail
  • Critical and innovative thinking
  • Communication and interpersonal skills
  • Resilience, flexibility,
  • Teamwork and collaboration
  • Developing self and others
  • Leveraging diversity and inclusion

  • Four-year fixed term contract, with possibility of extension.
  • Place of employment: Luxembourg
  • Current working arrangements: possibility to work remotely, normally around two days a week, from Luxembourg and the border region (or from further away under certain conditions)

The ESM aims to provide equal opportunity to all candidates irrespective of their gender, nationality, age, race, culture, education, religious beliefs, sexual orientation, or disability. To further enhance the diversity of our workforce, we particularly encourage women to apply.

Note 1: The ESM reserves the right to refrain from hiring, or to slightly modify job responsibilities, as needed,

Note 2: As a result of the selection process, please note that you may be placed on a ‘reserve list' valid for a duration of six months during which you might be considered for a similar position with a similar level of requirements. Only those candidates who have been notified will be placed on the ‘reserve list'. After this period, you will need to apply again for our vacancies to be considered for a different selection process.