(Senior) Quantitative Officer (Senior) Quantitative Officer …

EIB - European Investment Bank
in Luxembourg
Permanent, Full time
Last application, 18 Oct 20
Keine Angabe
EIB - European Investment Bank
in Luxembourg
Permanent, Full time
Last application, 18 Oct 20
Keine Angabe
Design, implement and adjust, when needed, quantitative models in domains relevant to the ALM and Market Risk Division.

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Financial Risk Department – ALM & Market Risk Division – Quantitative Model Development Unit, at its headquarters in Luxembourg, a (Senior) Quantitative Officer (*). This is a full time position at grade 5/6.

Panel interviews are anticipated for early November 2020

The term of this contract will be 4 years.

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) Financial Risk Management Officer

Purpose

Design, implement and adjust, when needed, quantitative models in domains relevant to the ALM and Market Risk Division, in line with the Bank’s financial risk policies and relevant best banking practices, regulations and EIBG’s evolving business requirements, in order to support RM’s analytical and policy functions relating to the Asset and Liability Management (ALM) of the Bank

Operating Network

Reporting to the Head of the Quantitative Model Implementation Unit, you will work closely with colleagues not only within Risk Management, but also in relevant Departments in Corporate Services, Finance, Lending, Financial Control, Information Technology, and, as the case may be, Internal Audit. You will also interact with peer institutions, consultancy and audit firms, supervisors and regulators for data, IT and risk management matters

Accountabilities

Following the priorities set by the Head of Division, take the lead in developing and implementing quantitative models in domains relevant for the Division, such as:

  • Interest Rate Risk in the Banking Book (IRRBB) technical solution:
    • Relating to aspects concerning net interest income historical and projected values and
      • Loan pricing
      • Funds Transfer Pricing
      • IRR strategy
      • Pension Risk Modelling
      • Stress Testing
      • ICAAP related capital charge calculations
      • Long-Term Funding Strategy and
      • Operational and Group Capital Planning
    • Relating to aspects concerning economic value of equity, covering interest rate risk, cross currency basis risk, tenor basis risk, funding and credit spread risk and foreign exchange risk
  • Consolidate the Division’s risk management models and applications into a single environment, therefore facilitating the production of the risk reports as well as the balance-sheet optimisation activity at Division level
  • Review and elaborate financial risk management and ALM policies, processes, procedures, reporting and measurements in line with new regulations and best practices
  • Foster constructive working relations both within RM on transversal topics (such as ICAAP and Stress Testing exercises) and beyond RM, in particular with the Finance Directorate (FI), on relevant cross directorate topics
  • Respond to ad-hoc/non-recurrent demands, including new initiatives/policies related to the content of the post when needed

Qualifications

  • University degree in a quantitative area, such as Mathematics, Physics, Computer Science, Financial Engineering, Quantitative Finance. Post-graduate studies in these subjects and professional qualifications such as PRM or FRM certifications would be an advantage.
  • Extensive exposure to quantitative and financial modelling (e.g. yield curve modelling, VaR methodology, BPV calculation, transfer pricing systems, net interest income simulations, capital allocation models), including in an ALM or Market Risk Management context
  • Proven experience in designing and implementing financial or risk models, e.g. design and implementation of pricing libraries, risk applications or ALM calculation and projection tools
  • Hands-on experience with at least one of the following programming oriented-object languages: C#, C++, Python, Java.
  • Previous experience with the risk management software "CompatibL" is a plus
  • Excellent knowledge of English and/or French (**) and a good command of the other. Knowledge of other EU languages would be an advantage

Competencies

Find out more about EIB core competencies here 

(**) 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 unauthorized disclosure of any information or any damage to the EIB Group reputation.

Deadline 16th October 2020

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