(Associate) Derivatives Quantitative Analyst

The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Group Financial Risk Department (GFIN) – Derivatives Division (DER) – Valuation Unit (VAU) at its headquarters in Luxembourg, an (Associate) Derivatives Quantitative Analyst*.

Purpose

As (Associate) Derivatives Quantitative Analyst, you will contribute to management of risk on derivatives transactions in line with EIB financial risk policies by contributing to (a) the implementation, monitoring and reporting of derivatives valuations and valuation adjustments; (b) the development of internal pricing tools and systems; (c) the review of existing models and implementation of new modelling approaches.

Operating Network

Reporting to the Head of the Derivatives Valuations Unit, you will work in close collaboration with the Head of Derivatives Division and a team of Quantitative Analysts.

Accountabilities

• Contribute to set up and review of derivatives models and algorithms for IR, FX, Inflation and Equity derivatives, in line with new regulations and best practices
• Contribute to credit, debit and collateral valuation adjustment models (also used in counterparty credit risk and liquidity risk calculations)
• Contribute to the fair valuation of derivatives and structured products for accounting purposes
• Work closely with senior colleagues in the team to review third party libraries and to propose improvements according to regulatory requirements for derivatives

Qualifications

• University degree, preferably in Computer Science, Engineering, Physics, Mathematics, Finance or another quantitative subject. CQF or similar certificates will be an advantage
• At least 3 years of relevant professional experience, ideally in a modelling / pricing related field (IR and FX preferred)
• Good programming background in a structured language (C, C++, C#, Python, etc)
• Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation is a strong asset but not required
• Ability to work with third party libraries to model derivatives for pricing and risk assessment
• Familiarity with BCBS regulations, EBA standards and best banking practice in the field
• Excellent knowledge of English and/or French (*) with a good command of the other.

Competencies

Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index.htm here

(*) Unless stated explicitly as a required qualification, a good command of French is not a pre-requisite for hire.  As both English and French are however official working languages of the EIB, proficiency in both languages is a pre-requisite for your future career development.  Any language clause in your contract must be fulfilled in order for you to be eligible for a promotion (either via the annual appraisal cycle or via an internal selection process).  Proficiency is understood to mean the attainment of level 5 of the Inter Institutional language courses, corresponding to B1.2 of the Common European Framework of Reference for Languages (CEFRL).  The Bank offers appropriate training support.

We are an equal opportunities employer, who believes that diversity is good for our people and our business.  We encourage all suitably qualified and eligible candidates to apply regardless of their gender identity/expression, age, racial, ethnic and cultural background, religion and beliefs, sexual orientation/identity, disability or neurodiversity.

Applicants with specific needs are encouraged to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team Jobs@eib.org who will ensure that your request is handled.

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: 15th March 2023. Panel interviews are anticipated for March 2023. 

This is a full-time position at grade 4/5 for which the EIB offers a permanent contract.

*internal benchmark: (Associate) Officer Financial Risk Management