Junior Quantitative Analyst Capital Risk Management

Job details :

The Council of Europe Development Bank (CEB), established in 1956, is a multilateral development bank with a unique social mandate. The CEB works to strengthen social cohesion and build thriving communities in Europe by financing projects that promote inclusive growth, support vulnerable groups and bolster environmental sustainability.

The Risk & Control Directorate (R&C) promotes a strong risk and control culture across the CEB to protect the Bank's lending and financing activities. R&C identifies, evaluates, monitors and reports all risks by implementing risk mitigation and internal control measures thereby safeguarding the CEB’s financial stability and guaranteeing its business continuity. R&C also preserves the CEB’s creditworthiness and pristine external rating assessment to strengthen stakeholders trust by efficiently monitoring budgets and ensuring accounting services are aligned with best practices. The Directorate also ensures financial reporting transparency and effective controls by the CEB’s governance and control bodies such as the external auditors and the Auditing Board.

The Risk & Control Directorate is looking for a Junior Quantitative Analyst, who will participate in the team's missions related to the valuation of financial instruments, the evaluation of market and liquidity risks, and the assessment of capital adequacy. The successful candidate will demonstrate strong knowledge, expertise, and capacity in designing and developing quantitative models. S/he will join a small and diverse team and report to the Head of the Market Risk and Capital Management Unit.

Main Responsibilities:

Valuation of financial instruments 
Participate in the booking of the derivatives and the hedge accounting designations
Calculate of IFRS valuation adjustments and reserves (CVA, DVA, etc.) 
Analyse the financial impacts related to the valuation of instruments recorded at fair value
Support and enhance the IFRS 9 credit impairment and provisioning framework
Assessment of market and liquidity risks
Participate in the definition of market and liquidity risk appetite; calculate market and liquidity risk indicators; prepare monthly reports
Support and enhance counterparty risk measures (potential future exposure (PFE), effective expected positive exposure (EEPE), standard approach to counterparty credit risk (SA-CCR))
Capital adequacy assessment
Calculate capital adequacy ratios of CEB Prudential Framework and rating agencies
Calculate the economic capital for credit and market risk using an internal approach
Participate in the operational implementation and the calibration of the economic capital model by improving the data collection and the reliability of input data
Compare model results with empirical evidence and/or benchmark model results




Academic background:
Master’s degree, or equivalent, in a quantitative field such as mathematics, physics, engineering, computer science, statistics, economics, or related field.

Professional background:
Minimum 1-3 years’ experience in a quantitative finance environment, gained in a financial institution, consulting firm, or multilateral development bank, with relevant experience in quantitative model validation or development.
Strong knowledge of probability theory, mathematical finance, statistics, econometrics, and numerical methods.
Advanced programming skills in R or other languages (C++/C#, Python, MATLAB, etc) with implementation experience in analytical library development.
Knowledge of the finance industry, particularly modelling related to financial instruments’ valuation and capital risk assessment.

Language skills:
Excellent written and oral command of English (one of the Bank’s two official languages) and knowledge of French (the other official language), with a commitment to reach a good working level.
Knowledge of one or more other Member country language(s) is an advantage.

Core competencies:
Adaptability
Client Orientation
Communication
Innovation
Result Orientation
Team Work

 Nationality:
Citizen of one of the Bank’s Member States: Albania, Andorra, Belgium, Bosnia and Herzegovina, Bulgaria, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Georgia, Germany, Greece, Hungary, Holy See, Iceland, Ireland, Italy, Kosovo, Latvia, Liechtenstein, Lithuania, Luxembourg, Malta, Republic of Moldova, Montenegro, Netherlands, North Macedonia, Norway, Poland, Portugal, Romania, San Marino, Serbia, Slovak Republic, Slovenia, Spain, Sweden, Switzerland, Türkiye.

Location : 55, avenue Kléber 75116 Paris