(Senior) Derivatives IT Quant (Senior) Derivatives IT Quant …

EIB - European Investment Bank
in Luxemburg
Befristet, Vollzeit
Seien Sie der erste Bewerber
0.00 - 110000.00
EIB - European Investment Bank
in Luxemburg
Befristet, Vollzeit
Seien Sie der erste Bewerber
0.00 - 110000.00
.

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Financial Risk Department – Derivatives Division – Valuation Unit - at its headquarters in Luxembourg, a (Senior) Derivatives IT Quant. This is a full time position at grade 5/6.

Purpose

To implement, monitor and report on derivatives valuations and valuation adjustments; to drive the development of internal pricing tools and systems; to review existing models, and implement new modelling approaches in the current production systems, with external libraries

Operating Network

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

Accountabilities

  • Contribute to the design, and oversee the implementation of the new in-house library for derivatives, guaranteeing consistency across the code and compliance with agreed architecture
  • Guide the development of the derivatives pricing system for IR, FX, Inflation and Equity derivatives, in line with new regulations and best practices
  • Maintain and develop code in the Bank’s pricing systems (production system, alternative pricing tools etc) with a view to creating best in class tools in terms of pricing methodology, providing first level support to users, carrying out testing of the implementation and documenting test results
  • Report on valuations and produce opinions on the impact of new transactions, including changes to the existing framework to accommodate new products
  • Contribute to the credit, debit and collateral valuation adjustment models (also used in counterparty credit risk and liquidity risk calculations)
  • Compute and report fair value of derivatives and structured products for accounting purposes
  • Represent the Unit and the Bank in interactions with internal and external parties, in particular with Model Validation.

Qualifications

  • University degree, ideally to post-graduate level and in a relevant field, such as Computer Science, Engineering, Physics, or Mathematics.
  • Significant relevant experience in programming, preferably related to derivatives modelling/pricing or other complex financial calculations
  • Proven experience in quantitative software development, jointly with an IT Department, including specification drafting, release planning and testing, would be an asset
  • Good understanding of design patterns and software architecture 
  • Understanding of ML techniques would be an advantage
  • Knowledge of third party libraries and regulatory requirements for derivatives is desirable but not required
  • Proven record of accomplishment in programming in a structured language (preferably in C++ or C#). (GitHub projects can be submitted with applications)
  • .Net experience would be an asset
  • Excellent knowledge of English and/or French (*), with a good knowledge of the other

Competencies

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

We particularly welcome applications from women and persons with disabilities.

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:  22nd August 2021.  The next steps of the selection process are foreseen for end August/early September 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

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