Risk Management Officer - Capital Requirements & Pricing
- Luxembourg Luxembourg Luxembourg LU
- Contract, Full time
- European Investment Bank.
- 16 Jul 18 2018-07-16
As a Risk Management Officer – Capital Requirements & Pricing internally referred to as “Senior (Officer) Credit Risk Management,” you will contribute to the maintenance, development, and implementation of EIB's economic capital framework, with a focus on credit risk measurement, analysis, and reporting (capital adequacy metrics, capital adequacy projections, stress testing, simulations, compliance with best practice in risk management, etc.). You will contribute to the maintenance and improvement of EIB’s risk pricing methodology.
he European Union's bank, is seeking to recruit for its Risk Management Directorate (RM) – Regulation & EIB Group Risk Department (REG) – EIB Group Capital & Reporting Division (C&R) - Capital Requirements Unit (CRU), at its headquarters in Luxembourg, a:
Risk Management Officer - Capital Requirements & Pricing
This is a full time position at grade 5/6
The term of this contract will be 4 years
Panel interviews are anticipated for mid/end August.
The EIB offers fixed-term contracts of up to a maximum of 6 years, according to business needs,
with a possibility to convert to a permanent contract, subject to organisational requirements and individual performance.
As a Risk Management Officer – Capital Requirements & Pricing internally referred to as “Senior (Officer) Credit Risk Management,” you will contribute to the maintenance, development and implementation of EIB's economic capital framework, with a focus on credit risk measurement, analysis and reporting (capital adequacy metrics, capital adequacy projections, stress testing, simulations, compliance with best practice in risk management, etc.). You will contribute to the maintenance and improvement of EIB’s risk pricing methodology.
You will report to the Head of the Capital Requirements Unit and will work in close cooperation with colleagues of the Capital and Reporting Division, with regular contacts within Risk Management and other Directorates (e.g. Ops, FI, IT, SG, EIF). You will interact on a case-by-case basis with internal auditors, Audit Committee of the Bank, rating agencies, etc.
Among your responsibilities will be to:
- Maintain the Bank’s economic capital model from a user perspective. Interact with IT to ensure the economic capital calculation tool remains available.
- Assess the anticipated impact of new business developments, new products or initiatives or new modelling best practices on the economic capital metrics of the EIB. Ensure the model is up to date with the latest business developments.
- Contribute to the production of the Bank's economic capital requirements (with focus on credit risk)
- Review, analyse and report on the evolution of the capital metrics to the management and stakeholders
- Act as a point of contact for internal services with respect to queries related to economic capital requirements
- Contribute to the capital adequacy assessment and planning processes, risk appetite setting, limits definition, etc.
- Contribute to capital requirements simulations, stress testing and analyses
- Ensure methodological and data consistency between various capital measurement tools (regulatory capital, economic capital, risk pricing models). Contribute to the development of a holistic risk view.
- Ensure that adequate documentation of relevant methodologies and processes is put in place
- Contribute to the Bank's efforts to maintain compliance with applicable best banking practice in the area of capital requirements
- Provide input to ad-hoc analyses and written communications on specific capital requirements matters to senior management or external bodies
- Contribute to the development and maintenance of risk pricing methodologies
- University degree in a quantitative subject (e.g. Mathematics, Physics, Statistics), with relevant exposure to finance or risk management, or a degree in Finance or Economics with a quantitative background. Post-graduate studies in one of these subjects or other relevant professional qualifications would be an advantage.
- Minimum 5 years' relevant professional experience, ideally gained in credit risk modelling, capital requirements calculation or a similar role.
- Familiarity with the main modern risk measurement methodologies and tools. Good understanding of credit portfolio tools would be considered an advantage.
- Knowledge of the regulatory framework or of rating agency scoring models would be beneficial.
- Solid IT background and ability to work with large data sets and database tools (e.g. SQL, Business Objects).
- Proficient knowledge of MS Excel, VBA. Familiarity with other programming languages (e.g. Matlab, R, C#, Python, SAS) would be an advantage.
- Excellent knowledge of spoken and written English is a must and a good command of French(*) would be advantageous.
- Achievement Drive: Continually keeps an eye on performance, focusing on improving it, showing drive and determination to meet short and long-term goals.
- Change Orientation: Adapts to differences and changes in the environment; takes a flexible approach to reach outcomes.
- Collaboration: Works cooperatively as part of a team; works collaboratively with peers across organisational boundaries based on a genuine interest in and an accurate understanding of others and their individual perspectives and concerns.
- Organisational Commitment: Is willing to commit to an organisation whose mission is to support Europe and is open to diversity, and to align her/his own behaviour with the organisation’s needs and intrinsic values, acting with integrity in ways that promote the organisation’s mission, policies and rules.
(*) There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in French. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of French and accept that their future career in the EIB may be subject to the attainment of sufficient proficiency in both of the Bank's working languages
We are an equal opportunity employer, who believes that diversity is good for our people and our business. As such, we promote the inclusion of suitably qualified and experienced staff without regard to their gender, age, racial or ethnic origin, religion or beliefs, sexual orientation/identity, or disability (*).
(*) We particularly welcome applications from women and persons with disabilities