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European Investment Bank
Europe, Luxembourg
4 days ago

Description

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

Purpose

Implement, prototype and update 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.

Operating Network

You will report to the Head of the Quantitative Model Implementation Unit and work closely with the colleagues from across the Bank (Risk Management, Finance, Financial Control, Corporate Services, and, as the case may be, Internal Audit). You will also interact externally with consultancy and software development firms for risk management and data matters.

Accountabilities

  • Take the lead in developing, prototyping, implementing and updating quantitative models for domains relevant for the Division. Such models may, for example, cover areas such as:
    • Interest Rate Risk in the Banking Book (including all market risk models),
    • Interest Rate Risk Strategy and Interest Rate Risk Appetite,
    • Net Funding Result and Blue Curve,
    • Pension Risk Modelling,
    • Funds Transfer Pricing and its sub-components,
    • Loan Pricing,
    • Stress Testing,
    • ICAAP related calculations,
    • Long-Term Funding Strategy and
    • Operational Planning

The tasks will concretely relate to:

  • steering the implementation of all required technical functionalities
  • creating smart specifications for the software vendors, by building prototype models for future integration by the vendors or by performing in-house developments directly
  • designing acceptance tests and overseeing their execution
  • Contribute to the consolidation in the long run of the Division’s risk management models and applications into a single environment, thereby ensuring adequate configuration of the Division’s tools in order to facilitate the production of the risk reports of the Division
  • Respond to ad-hoc/non-recurrent demands, as selected by the Heads of Unit and Division, including new initiatives/policies related to the content of the post when needed.

Qualifications

  • University degree, preferably in a quantitative field.Post-graduate studies in these subjects and professional qualifications such as PRM or FRM certifications would be an advantage
  • Relevant professional experience in ALM or Financial/Market Risk Management, including at least 5 years in quantitative and financial modelling (for example net interest income simulations, transfer-pricing systems, capital allocation models, yield curve modelling or BPV calculation)
  • Hands-on 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
  • Experience with the risk management software "CompatibL" is an asset
  • Excellent knowledge of English and/or French (*), with a good knowledge of the other. Knowledge of other European 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.

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.

Deadline for applications:  29th November 2021.  Panel interviews are anticipated for December 2021 

The term of the 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

We particularly welcome applications from women and persons with disabilities.

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Job Information

  • Job ID: 59948280
  • Location:
    Europe, Luxembourg
  • Company Name: European Investment Bank
  • Position Title: (Senior) Quantitative Financial Risk Officer - Quantitative Model Implementation Unit
  • Job Function: Accounting/Finance
  • Flexible Working Available: Available

Please refer to the company's website or job descriptions to learn more about them.

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