(Senior) Model Validation Officer (Senior) Model Validation Officer …

EIB - European Investment Bank
in Luxembourg
Temporary, Full time
Last application, 13 Oct 20
Excellent salary
EIB - European Investment Bank
in Luxembourg
Temporary, Full time
Last application, 13 Oct 20
Excellent salary
(Senior) Model Validation Officer at European Investment Bank in Luxembourg

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate (RM) – Regulation and EIB Group Risk Department (REG) – EIB Group Model Validation Division (VAL), at its headquarters in Luxembourg, a (Senior) Model Validation 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 November 2020

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.

(*) internal benchmark: (Senior) Credit Risk Management Officer


The Model Validation Division’s role is to bring the development of the Group’s valuation and risk analysis models into a structured process for independent review, testing, approval and documentation. The team is tasked to:

  • identify and track all models within the EIB Group
  • independently validate models and their implementations
  • assess the model risks, the appropriateness for the purpose used, and the general approach for each model.

Reporting to the Head of the Model Validation Division, you will work in close collaboration with a team of validation officers, and will interact regularly with other risk management officers, in particular those responsible for credit risk modelling, risk analysis, ALM and valuation, and also with colleagues in other Directorates.

You will also have contact with internal and external Audit Committees

Operating Network

  • Validate various models built to assess and quantify a wide range of risks (credit risk models, IRRBB, liquidity, stress testing, fund transfer pricing etc.)
  • Execute validation programs that include
    • Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated
    • Tracking the resolution of findings with model owners and users
    • Employ technical expertise and analytic acumen to provide high quality deliverables in a fast paced risk management environment
    • Examine conceptual soundness of models being validated. Review and effectively challenge the underlying assumptions, theory, empirical evidence, limitations of the model being validated
    • Write model validation reports documenting the results of the model validation, including observations and findings, and recommending remedial action plans. Produce reports to track validation status and results for management as well as internal and external auditors
  • Interface with model stakeholders throughout validation process, external and internal audit to discuss justification and reasoning behind validation findings
  • Work with various teams across the EIB Group to develop and maintain an inventory of all models used
  • Directly contribute to the EIB Group’s efforts to maintain full compliance with the Basel II/III regulatory framework in the area of model validation
  • Participate in the Bank’s efforts to ensure on going compliance with its framework of best banking practice in the area of risk management


  • University degree in Mathematics, Quantitative Finance, Statistics or another highly quantitative domain, and preferably to preferably to post-Graduate level. Professional qualifications, such as PRMIA or GARP certificates, would be an advantage
  • Extensive relevant professional experience in quantitative modelling/model validation for credit risk and/or financial risk:
    • Credit risk:
      • Very good knowledge and in-depth experience in the areas of IRB models development and/or validation, including PD, LGD and CCF
      • Experience with Pillar 2 models (economic capital, stress testing) a plus.
    • Quantitative modelling in Liquidity, ALM, Interest Rate Risk in the Banking Book
  • Knowledge of regulation (BCBS, CRR and EBA) and best banking practice in the above fields
  • Experience in working with regulators, auditors, and compliance will be considered as a plus
  • Expertise in Python, R, Matlab, SAS, C++ and/or C#
  • Excellent knowledge of English and/or French and a good command of the other (*). Knowledge of other European Union languages would be an advantage.


Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index-test here

In addition to the core competencies, you should demonstrate:

  • Strong critical thinking skills to provide effective challenge to models developed, both internally and by vendors.
  • Demonstrated ability to produce clear, concise written work products
  • Ability to work effectively in a high pressure, fast paced environment with multiple deadlines and competing priorities

(*) 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.

By applying for this position you acknowledge the importance of maintaining the security and integrity of the Information of the EIB Group. In case of selection for the position you agree to comply with all measures (policies, controls, document classification and management) implemented by the EIB Group to prevent unauthorised disclosure of any information or any damage to the EIB Group reputation.


Then apply now via the 'apply' button!

Deadline for applications:  19th October 2020

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