Job Purpose As an ERM Team Member, the successful candidate will cover all the Pillar II framework activities and Market Risk ones. It implies solid quantitative background and broad exposure across credit, market, and enterprise risk. Main Responsibilities The key responsibilities will include (but are not limited to): IRRBB-CSRBB framework of which the development of the capability to project different metrics in order to optimize the PL under the regulatory constraints of which EVE/NII/CSRBB. It allows to enhance the ALM framework and give insights to the 1LOD to develop in medium and long-term businesses. It also include the automatization of the approaches and tools through Python and other languages Risk Identification process to align with supervisor requirements (SREP) as mentioned in CSSF circular on Pillar II matters RAS framework ICLAAP/Recovery Plan/ad-hoc projections of the different RAS metrics and develop the scenarios / and remedial actions assessments. Integrate the approaches and tools to allow the Bank strategy deployments, optimizing the trade-off risk and returns Pillar II ECAP metrics (including the modelling side) Ensure the Pillar 3 report production including the new EBA requirements Set up a data governance framework and deploying the afferent reports covering RMD-CMD and FMD matters