Head of Derivatives Division - 105527

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

Head of Derivatives Division

This is a full time position at grade 7.
The term of this contract will be 4 years.
Assessment Centers are foreseen in the third week of September

Context

The RISK Management (RM) Directorate is the EIB’s independent risk assessment team for new and existing lending, funding and treasury operations. RM provides policies, second opinions on individual proposals, an EIB-wide portfolio view and reporting, seeking to apply Best Banking Practices. The Derivatives Division consists of 2 units (Risk & Valuation) and is responsible for contributing to the risk management for derivatives transactions in line with EIB financial risk policies by:

• developing, implementing, monitoring and reporting counterparty credit risk measures, derivative valuations and valuation adjustments  
• reporting on counterparty credit risk limit use and availability, including daily controls
• computing internal credit, liquidity and funding charges for derivatives
• contributing to ISDA/CSA negotiations and proposing risk management actions in case of limit breaches and/or credit events
• reviewing existing models and designing and implementing new models as the case may be
• performing controls of valuation results, including resolution of valuation disputes with counterparties
• providing fair values and hedge accounting figures for Accounting and further selected outputs to other Services of the Bank

 Purpose of the role

The Head of the Derivatives Division’s role is to organise, lead and motivate a team through two heads of unit (Risk unit and the Valuation unit) to ensure that risk management practices for derivatives transactions are in line with EIB financial risk policies.

Operating Network

• S/he will report to the Head of the RM/FIN Department and cooperate closely with colleagues in both RM and other Directorates/Departments of the Bank, in particular FI, FC, CS-IT and JU. 
• Accountabilities
• Develop, review and implement counterparty risk management strategies and policies for the Bank’s derivatives activity and ensure that the necessary processes, procedures, methodologies, support and control systems are in place.
• Develop, review and implement derivatives valuations policies and procedures, following market practices whenever applicable.
• Oversee the development of valuation and counterparty credit risk models, their implementation in a “fit-for-purpose” IT technology, their update and documentation. Assess their performance by implementing a control and review framework, including effective controls of valuation and risk figures on a continuous basis.
• Follow-up on best industry practices and regulations (BCBS, EBA) in the field of derivatives and implement them in the Bank whenever applicable.
• Ensure adequate reporting on derivatives exposures to the Board, the Management Committee, Risk Policy Committee and Audit Committee on a regular basis as well as reporting to Financial Control for IFRS Financial Statements on fair value of derivatives including valuation adjustments such as CVA, DVA and CollVA.
• Actively propose risk-mitigating management actions in case of limit breaches and/or credit events ranging to potential counterparty defaults in case of crisis.
• Plan, organise and manage the resources and means necessary for the implementation of the Division’s activities
• Set clear objectives, evaluate the performance of direct reports and ensure consistency of objective setting and performance evaluation across the Division.
• Lead and motivate staff and ensure the Division has adequate competences to implement the formulated strategy and deliver results.
• Ensure an effective cooperation among team members and strengthen cooperation across RM/FIN with a view towards knowledge sharing across Divisions avoiding any overlaps and contributing towards an effective implementation of key processes. 
• Develop and maintain a strong cooperation with other RM departments, e.g. in the area of stress testing, as well as with services across the Bank.
• Maintain strong contacts with FI, JU and FC, e.g. for organising the Derivatives Strategy and Modelling Committee and for reviewing and maintaining ISDA/CSA framework agreements.
• Represent the EIB externally on counterparty credit risk management matters and maintain relationships with key external parties and professional associations in order to build cooperation and stay abreast of best practice.
• Represent Financial Risk Management in areas of expertise in various domains in the Bank.
• Contribute to special projects/working groups within the Bank and RM, as the case may be.

Qualifications

• University degree, preferably in mathematics, quantitative finance, statistics or another quantitative domain.
• At least 10 years professional experience in finance/banking with extensive exposure to the field of counterparty risk management for derivatives.
• Successful experience in managing and mentoring people ideally in multicultural environments or international organisations (deciding on team resources and skills; establishing objectives; assessing team performance; delegating and supervising tasks; guiding, motivating, mentoring and providing feedback) is strongly preferred.
• Solid mathematical knowledge in the areas of derivatives valuation and derivatives exposure calculation.
• Proven professional experience in counterparty credit risk management, including usage of derivative valuation models and tools.
• Knowledge of the legal framework applicable to derivatives transactions and to collateral agreements for derivatives.
• Knowledge of the regulatory requirements for derivatives transactions and collateral management.
• Proven experience in programming languages (C# and/or C++) would be an advantage.
• Sound knowledge of the funding, liquidity management and lending activities of the Bank would be an advantage.
• Fluent in English or French (*) and a good command of the other; knowledge of other European languages would be an advantage.

EIB Core 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.

EIB Managerial competencies

• Developing Others: Builds the long-term capability of others by guiding and developing them to make the most of their competence and potential, based on an accurate understanding of their true strengths and development needs.    
• Strategic Thinking: Thinks about the long term organisation strategy and how to align to and implement it; comes up with useful new strategic insights.
• Team Leadership: Builds a high performing team, ensuring it is focused, motivated and inspired to achieve organisational objectives, encouraging performance excellence and addressing underperformance when required.

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.

(*) 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 rapidly build up 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 believe that diversity is good for our people and our business. We promote and value diversity and inclusion among our staff and candidates; irrespective of their gender, age, nationality, race, culture, education and experience, religious beliefs, sexual orientation or disability.

Deadline for applications:

We particularly welcome applications from women and persons with disabilities.

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