(Senior) Derivatives Quantitative Analyst

  • Competitive
  • Luxemburg, Luxembourg Luxemburg Luxembourg LU
  • Befristete Anstellung, Vollzeit
  • European Investment Bank.
  • 18 Sep 18 2018-09-18

To contribute to the risk management for derivatives transactions in line with EIB financial risk policies by implementing, monitoring and reporting (a) derivatives valuations and valuation adjustments; (b) contributing to the development of internal pricing tools and systems; (c) reviewing existing models and implementing new modeling approaches.

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate (RM)

Financial Risk Department (FIN) - Derivatives Division (DER) - Valuation Unit (VAU), at its headquarters in Luxembourg, a:

(Senior) Derivatives Quantitative Analyst

This is a full-time position at grade 5/6

The term of this contract will be 4 years

Panel Interviews are anticipated for the end 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.

Purpose

To contribute to the risk management for derivatives transactions in line with EIB financial risk policies by implementing, monitoring and reporting (a) derivatives valuations and valuation adjustments; (b) contributing to the development of internal pricing tools and systems; (c) reviewing existing models and implementing new modeling approaches.

Operating network

As the (Senior) Derivatives Quantitative Analyst, internally referred to as (Senior) Officer Financial Risk Management, you will report to the Head of the Derivatives Valuations Unit. You will work in close cooperation with the Head of the Derivatives Division and a team of Quantitative Analysts.

Accountabilities

You will:

  • Contribute to the development and maintenance of an in-house pricing library, for valuation and valuation adjustments.
  • Develop and contribute to derivatives models and algorithms for IR, FX, Inflation and Equity derivatives, following new regulations and industry standards.
  • Report on valuation and produce opinions on the impact of new operations, 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.

Qualifications

  • Strong academic background in a relevant field - Computer Science, Engineering, Physics, Mathematics, Finance. CQF or similar certificates will be an advantage.
  • Strong programming background in a structured language (C, C++, C#, Python, etc).
  • 5 years + of experience in a modelling/pricing related field (IR and FX preferred).
  • Good understanding of counterparty credit risk mitigation, including ISDA/CSA documentation.
  • Familiarity with BCBS regulations, EBA standards and best banking practice in the field.
  • Excellent knowledge of English and/or French(*), with a good knowledge of the other. (Knowledge of other EU languages would be an advantage).

Competencies

  • 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 organizational 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 behavior 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 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 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