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(Senior) Quantitative Financial Risk Management Officer

CDITemps plein

A propos de l'entreprise

EIB European Investment Bank

As the EU bank, we provide finance and expertise for sustainable investment projects that contribute to EU policy objectives and make a strong impact on people’s lives in Europe and beyond.

The EU's bank

The EIB is the European Union's bank. We are the only bank owned by and representing the interests of the European Union Member States. We work closely with other EU institutions to implement EU policy.

A major player

As the largest multilateral borrower and lender by volume, we provide finance and expertise for sound and sustainable investment projects which contribute to furthering EU policy objectives. More than 90% of our activity is focused on Europe but we also implement the financial aspects of the EU's external and development policies.

Lending, blending and advising

Lending: The vast majority of our financing is through loans, but we also offer guarantees, microfinance, equity investment, etc.

Blending: Our support helps us unlock financing from other sources, particularly from the EU budget. This is blended together to form the full financing package.

Advising: Lack of finance is often only one barrier to investment. We can help with administrative and project management capacity which facilitates investment implementation.

Description du poste

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate (RM) – Financial Risk Department (FIN)– ALM & 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 beginning of September
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.

You will design, review and maintain financial risk policies and methodologies, in line with relevant best banking practices/regulations and the evolving business requirements of the EIB Group, in order to strengthen RM’s analytical and policy functions relating to the Asset and Liability Management (ALM) of the Bank.
Operating Network
You will report to the Head of the ALM and Market Risk Division and work closely with colleagues from Corporate Services, Finance, Lending, Financial Control, Information Technology, and, as the case may be, Internal Audit. You will also interact externally with peer institutions, consultancy and audit firms, supervisors and regulators for data, IT and risk management matters.
Develop and implement quantitative models in domains relevant for the Division, as selected by the Head of Division. Such domains may include but not be restricted to:
Interest Rate Risk in the Banking Book (IRRBB) technical solution implementation
Loan pricing,
Funds Transfer Pricing,
ALM strategy,
Pension Risk Modelling,
Stress Testing,
ICAAP related calculations,
Long-Term Funding Strategy and
Operational Planning.
Ensure the consolidation of the Division’s risk management models and applications into a single environment, thereby facilitating the production of the Division’s risk reports, as well as its balance-sheet optimisation activity
When needed represent the Division in, and contribute in the form of quantitative analyses to, working groups and permanent committees (e.g. the ALCO).
Drive the revision of existing, and the elaboration of 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.

(*) 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 (**).
The level of functions in the job vacancy is only indicative and will be adjusted accordingly taking into account, among other things, the business need, as well as the selected candidate’s experience and expertise.

Compétences requises du profil

University degree, preferably in a Quantitative subject such as Mathematics, Physics, Computer Science, Financial Engineering, or Quantitative Finance. Post-graduate studies in these subjects and professional qualifications such as PRM or FRM certifications would be an advantage.
Minimum 5 years’ of relevant professional experience in ALM or Market Risk Management, including 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)
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
In-depth command of Excel and VBA (to value financial instruments and to improve/automate further reporting tools)
Hands-on experience with at least two of the following programming languages: C#, C++, SQL, Python, MatLab, Java, JavaScript, C, PHP or R. Past strong exposure to C# is a distinct advantage
Experience with the risk management software solution “Compatibl” would be a plus
Excellent knowledge of English and/or French (*), with a good knowledge of the other. (Knowledge of other EU languages would be an advantage).
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.

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(Senior) Quantitative Financial Risk Management Officer

EIB European Investment Bank

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