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:
(Junior) Derivatives Risk Officer
This is a full time position
The term of this 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 organizational requirements and individual performance.
(Junior) Derivatives Risk Officer, internally referred to as (Junior) Financial Risk Management Officer, will contribute to the risk management for derivatives transactions in line with EIB financial risk policies by implementing, monitoring and reporting (a) derivatives valuations including credit and collateral valuation adjustments; (b) counterparty credit risk measures, including expected and potential exposures; (c) liquidity risk measures, including expected and potential collateral outflows; (d) capital consumption measures.
The Derivatives Risk Officer will report to the Head of Unit and will work in close collaboration with the Head of the Derivatives Division and a team of Risk Officers.
Configure and control interest rate, inflation and FX derivatives valuation models (Numerix).
Implement and control models for credit and collateral valuation adjustments.
Implement and control models for expected and potential future credit exposure, collateral outflow and capital consumption.
Report on valuation and risk positions and produce opinions on the impact of new operations, including changes in ISDA/CSA documentation.
Monitor the collateralization process, solve collateral disputes.
University degree, preferably in mathematics or quantitative finance. At least 3 years' professional experience acquired with a major derivatives user, with implication in derivatives control, including at least one of the following
Knowledge and experience in the area of derivatives valuation
Familiarity with the credit and collateral valuation adjustment calculations as well as funding and capital consumption charges
Knowledge of derivatives counterparty and liquidity risk quantification, including potential future exposure and collateral outflow
Experience in derivatives valuation packages, preferably Numerix.
Knowledge of programming languages, preferably C#, Visual Basic and SQL.
Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation, is a considerable plus
Familiarity with BCBS regulations, EBA standards and best banking practice in the field would be considered an advantage.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.
(*) 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 the relevant language 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.