La Banque Européenne d’Investissement recrute un(e) Responsable des risques liés aux produits dérivés à Luxembourg.

 

 

 

Purpose

The Derivatives Counterparty Credit Risk Unit is in charge of managing the credit risk of derivatives transactions. Its tasks involve:

  • setting minimum conditions and risk limits for derivatives counterparties
  • specifying and monitoring counterparty risk measurement calculations
  • reporting and monitoring compliance with limits of counterparty credit risk exposures
  • contributing to exposure reduction in case of limit breaches or low limit availability
  • monitoring collateral management activities
  • negotiating the ISDA/CSA agreements in collaboration with the Finance/Funding Directorate
  • computing liquidity and funding stress scenarios and internal risk charges
  • performing credit risk stress tests related to derivatives.

As an (Associate) Officer in the team, perform monitoring and reporting on counterparty risk, risk measurement and risk reporting processes in order to contribute to the effective implementation of risk management for derivatives transactions in line with EIB’s financial risk policies

Operating Network

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

Accountabilities

  • Propose and implement changes in derivatives risk management policies, processes and procedures, in line with new regulations and best practices
  • Contribute to the selection, specification,  and monitoring of counterparty credit risk measures/metrics, including Expected and Potential Future Exposures and regulatory exposure measures/metrics
  • Monitor and contribute to the design of models for internal credit, liquidity, funding and collateral charges
  • Monitor the counterparty credit risk limit use and availability reporting
  • Report on risk positions, limit use and counterparty availability for new operations
  • Back-test, stress test, and perform other controls of the internal models, identify and implement corrective actions
  • Provide independent opinions on the impact of new transactions, novations and changes in ISDA/CSA documentation on the fair value and  internal credit, liquidity and funding charges and also the Potential Future Exposure
  • Contribute to the Group-wide transversal projects where the unit is involved and collaborate closely with other EIB Group functions  (IT services, model validation and internal audit) in order to ensure that appropriate internal cooperation and controls are maintained

Qualifications

  • University degree (minimum an equivalent to a Bachelor) preferably in a quantitative field or in Finance or Economics with quantitative finance (Stochastic Calculus) as the major topic. Post-graduate studies and PRMIA or GARP certificates will be an advantage;
  • At least 3 years of relevant experience acquired with a major derivatives dealer or user, with good knowledge of market risk or counterparty risk quantification, ideally including Potential Future Exposure and capital charges calculations;
  • Good knowledge of BCBS regulations, EBA standards and best banking practice in the field would be an advantage;
  • Understanding of either derivatives pricing models, or counterparty risk quantification or derivatives liquidity and funding aspects;
  • Familiarity with XVA adjustments (CVA, DVA, CollVA, FVA, KVA, AVA) would be an asset
  • Programming skills (C++, C#, Python, SQL) would be preferred;
  • Excellent knowledge of English and/or French (*), with a good knowledge of the other.

Competencies

Find out more about EIB core competencies here

Deadline for applications: 31st July 2023

Application process