(Senior) Derivatives Risk Officer

  • Competitve
  • Luxembourg Luxembourg Luxembourg LU
  • Contract, Full time
  • European Investment Bank.
  • 21 May 18 2018-05-21

You will contribute to the risk management for derivatives transactions by (a) proposing risk policies, (b) implementing and monitoring counterparty credit risk measures, including Expected and Potential Future Exposures and regulatory exposure measures; (c) reporting counterparty credit risk limit use and availability; (d) computing internal credit, liquidity and funding charges for derivatives, (e) assessing new counterparties and transaction types and (f) contributing to assessment and negotiation of ISDA/CSA agreements.

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate (RM) - Financial Risk Department (FIN) - Derivatives Division (DER), Counterparty Credit Risk Unit (RKU), at its headquarters in Luxembourg, a:

(Senior) Derivatives Risk Officer

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 June.

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 organizational requirements and individual performance.

Purpose

You will contribute to the risk management for derivatives transactions by (a) proposing risk policies, (b) implementing and monitoring counterparty credit risk measures, including Expected and Potential Future Exposures and regulatory exposure measures; (c) reporting counterparty credit risk limit use and availability; (d) computing internal credit, liquidity and funding charges for derivatives, (e) assessing new counterparties and transaction types and (f) contributing to assessment and negotiation of ISDA/CSA agreements.

Operating Network

As the (Senior) Derivatives Counterparty Risk Officer you will report to the Head of the Derivatives Counterparty Credit Risk Unit. You will work in close cooperation with the Head of the Derivatives Division and a team of Risk Officers.

You will have regular contacts with Treasury, Capital markets, Legal, IT, Internal Audit, Model validation, Derivatives counterparties and Software vendors.

Accountabilities

As the (Senior) Derivatives Counterparty Risk Officer you will:

  • Propose and implement changes in derivatives risk management policies, processes and procedures, in line with new regulations and best practices
  • Implement internal models for Expected and Potential Future Exposure and regulatory derivatives exposure measures
  • Backtest and perform other controls of the internal models, identify and implement corrective actions
  • Report on risk positions, limit use and counterparty availability for new operations
  • Produce opinions on the impact of new transactions, novations and changes in ISDA/CSA documentation on the risk profile and the internal credit, liquidity, and funding charges
  • Propose risk management actions in case of limit breaches and credit events
  • Represent the unit with other domains in the Bank (front and back office, legal services, IT services, model validation and internal audit) in order to ensure that appropriate internal cooperation and controls are maintained

Qualifications

  • University degree, preferably in finance and or a quantitative background. Post-graduate studies and PRMIA, GARP or CQF certificates will be an advantage
  • At least 5 years professional experience acquired with a major derivatives dealer or user, with an extensive implication in derivatives counterparty credit risk management
  • Strong knowledge of counterparty risk quantification and derivatives including Potential Future Exposure and capital charges calculations
  • Deep understanding of counterparty credit risk mitigation, including ISDA/CSA documentation
  • Experience in working with XVA adjustments (CVA, DVA, CollVA, FVA, KVA, LVA, AVA)
  • Good knowledge of BCBS regulations, EBA standards and best banking practice in the field
  • Knowledge of programming languages, especially C#, Visual Basic and SQL
  • Excellent knowledge of written and spoken English, and a good command of French*Excellent knowledge of English and/or French(*), with a good knowledge of the other. (Knowledge of other EU languages would be an advantage).

Competencies

  • 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 organizational 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 organization whose mission is to support Europe and is open to diversity, and to align her/his own behavior with the organization’s needs and intrinsic values, acting with integrity in ways that promote the organization’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.