La Banque Européenne d’Investissement recrute un Responsable de la politique financière quantitative à Luxembourg.

 

 

 

 

 

Purpose

As a (Senior) Quantitative Financial Policy Officer, you will design, develop, test, maintain and adjust a wide range of quantitative models related to derivatives valuation (as well as valuation adjustments) and asset and liability management topics / matters, in order to support the Finance Directorate (FI) perform its 1st line of defence activities.

Operating Network

You will report to the Head of Unit and will work in close collaboration with the other members of the Unit as well as of the Financial Policies and Methodologies (FPM) division and of the Operational Support and Monitoring (OSM) division. You will also frequently interact with colleagues working in Corporate Services (IT), Risk Management, Financial Control and Internal Audit.

Accountabilities

  • Design, develop, test, document, maintain and adjust quantitative models supporting the activities of FI and the reinforcement of the 1st line of defence functions within FI, in line with industry standards, market practices and new regulations, on topics such as:
    • Derivatives valuation and valuation adjustments (so-called xVAs),
    • Assets & liability management (Interest Rate Risk in the Banking Book, including the measurement and management of the tenor and cross currency basis risk, FX positions, optionalities, as well as Fund Transfer Pricing).
  • Participate to the validation of existing and new models, and address open validation and audit points.
  • Consolidate the Department’s models and applications into a common technological environment.
  • Represent the Unit in working groups and committees when requested, provide guidance to FI colleagues on technical and quantitative matters on the above-mentioned areas.
  • Prepare opinions and/or technical briefing notes.

Qualifications

  • University degree (minimum an equivalent to a Bachelor) preferably in quantitative areas such as Financial Engineering, Applied Mathematics, Physics, Computer Science, Applied Finance or Applied Statistics.
  • Post-graduate studies in these subjects and professional qualifications, such as PRMIA or GARP for Risk Management or CQF for Quantitative Finance would be an advantage.
  • At least 5 years of relevant professional experience acquired preferably in a reputable consultancy firm, a major financial institution, a central bank or a major international organisation.
  • Relevant experience in the development, implementation and maintenance of quantitative models, acquired within a front office, middle office or risk management environment, with a focus on derivatives models (and related calculations) and/or ALM and Market Risk Management, (including for example e.g. yield curve modelling, BPV calculations, net interest income simulations, Fund Transfer Pricing).
  • Excellent knowledge of programming and of one or several analytical software packages such as C#, C++, SQL, Python, and more generally, solid IT literacy.
  • Good interpersonal skills and client oriented / service provider approach.
  • Good organisational skills and capability to prioritise.
  • Knowledge of the best banking practices and industry standards related to derivatives models and/or ALM and Market Risk Management is considered a plus
  • Excellent knowledge of English and good command of French (*). Knowledge of another EU language would be an advantage.

Competencies

Find out more about EIB core competencies here

Deadline for applications: 28th July 2023 

Application process