The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate (RM) – Financial Risk Department (FIN) – ALM and Market Risk Division (ALM), at its headquarters in Luxembourg, a:
(Senior) Quantitative Financial Risk Management 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 the end of February
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.
Purpose
As a (Senior) Quantitative Financial Risk Management Officer internally referred to as a (Senior) Officer Financial Risk Management, you will support the Financial Risk Department within the Risk Management Directorate (RM). You will support them in the design, revision and maintenance of financial risk policies, models and methodologies, in line with relevant best banking practices/regulations and evolving business requirements of the EIB Group, in order to strengthen analytical and policy functions relating to the ALM and Market Risk Division within RM.
Take lead responsibility for specific projects involving the conceptual design and the concrete implementation of quantitative models in areas covered by both ALM and Market Risk Units of the Division.
Report to the Head of Division and work in close collaboration with all members of both Units.
Operating Network
In addition to the other relevant Departments within the Risk Management Directorate, you will closely cooperate with other Directorates and Departments involved in Finance, Lending, Financial Control, Information Technology, and Inspectorate General (Internal Audit).
You will also interact externally with peer institutions, and consultancy and audit firms on financial risk matters, where appropriate, and may also be in contact with IT software vendors and external consultants.
Accountabilities
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Assume lead responsibility on the business side for the implementation of the IRRBB project which aims at achieving full compliance with regulation/best banking practices with a flexible, powerful and scalable software solution. Concretely, this will include:
- steering the implementation of all required technical functionalities
- creating specifications for software vendors by building prototype models for future integration by the vendors or performing in-house developments directly
- designing acceptance tests and overseeing their execution
- overseeing and providing expert guidance to a small team of quantitative risk managers dedicated to the IRRBB project implementation
- liaising with IT and Director General Office Unit in RM on the procurement and infrastructure matters as the case may be
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Beyond the IRRBB project, take lead responsibility for the development and implementation of quantitative models in domains relevant for the Division, as selected by the Head of Division. Such topics may, for example, include the design and implementation of quantitative software tools in areas such as
- ALM strategy,
- Pension Risk Modelling,
- Funds Transfer Pricing,
- Loan Pricing,
- Stress Testing,
- ICAAP related calculations,
- Long-Term Funding Strategy and
- Operational Planning.
- Contribute to the consolidation of the Division’s risk management models and applications preferably into a single environment in the long run, thereby ensuring adequate configuration of the Division’s tools in order to facilitate the production of the risk reports of the Division.
- Take the lead responsibility for specific projects involving the conceptual design and the concrete implementation of quantitative models in areas covered by both ALM and Market Risk Units of the Division, in order to strengthen the analytical and policy function of the Division
- Represent the Division in and contribute to, in the form of quantitative analyses, working groups and permanent committees (e.g. the ALCO).
- Actively contribute to the revision and elaboration of existing and new 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 quantitative areas 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.
- At least 8 years of relevant professional experience in quantitative modelling in ALM, Market Risk Management or Finance.
- Hands-on experience in financial model design and implementation (e.g. design and implementation of pricing libraries or risk applications) is a must.
- In-depth knowledge of market risk management techniques and quantitative financial and risk modelling tools and methods in the fixed income space (yield curve modelling, plain vanilla derivative valuation, VaR, ES, sensitivity measures) are required.
- Knowledge of best banking practices/regulation related to financial risk management (in particular IRRBB) as well as experience in their implementation would be an advantage.
- Good understanding of accounting principles (IFRS/IAS) would be an advantage.
- Sound programming skills in C# are required.
- Hands-on experience with other programming languages such as C++, SQL, Python, Matlab, VBA or Java would be an advantage.
- 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 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 (*).
Deadline for applications: 30th of January 2019
(*). We particularly welcome applications from women and persons with disabilities.
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