Quantitative Officer

il y a 2 semaines

Luxembourg, Luxembourg European Investment Bank Temps plein

The
EIB, the European Union's bank, is seeking to recruit for its Operations Directorate (OPS), Operations Support Department (OSD), Business Support and Analytics Division (3-BUS SUPP & AN), Models and Portfolio Analysis Unit (MPA), at its headquarters in Luxembourg, an
(Associate) Quantitative Officer .



This is a full time position at grade 4/5 for which the EIB offers a permanent contract.
- _Internal benchmark: (Associate) Officer Lending Operations_

_ Panel interviews are anticipated for April 2023__. _**
Purpose:As (Associate) Quantitative Officer, you will actively contribute to the improvement of the Bank's portfolio pricing methodology in OPS and GLO, in particular in relation to mandates and new product initiatives. You will contribute to the development and set-up of new portfolio models as well as to the maintenance of existing ones, in cooperation with other departments in the Bank, including IT and Risk Management. You will also take active part in structuring new products and contributing to front-line discussions with other internal and external model stakeholders.

Operating Network:


The (Associate) Quantitative Officer will report to the Head of Unit and cooperate closely with quantitative officers and business support officers in the Division and the Operations Support Department (OSD).


You will interface regularly with the management and officers of the Bank's lending Directorate as well as of other Directorates.


Accountabilities:

  • Support more senior colleagues in the development and maintenance of structured portfolio models, including the development of appropriate documentation for model methodology and design.
  • Under the guidance of senior colleagues / management, develop new and more efficient portfolio models (Monte Carlo models), tailored to frontline product development needs.
  • Analyse the implications of new products and mandates in terms of modelling and pricing.
  • Develop and maintain state of the art libraries for the modelling of credit and structured products in Python.
  • Participate in the definition and refinement of a bankwide profitability framework for internal and external initiatives.
  • With the support of more senior colleagues, provide quantitative, structuring and modelling advice to frontline officers in terms of credit and market risk analysis.
  • Actively participate in internal discussions with other Directorates, in particular the EIB Risk Management.
  • Participate in the Model Risk Management project and actively contribute to the identification, monitoring and development of the models owned by OPS and GLO.
  • Keep abreast of the latest market trends in relation to quantitative modelling in the Banking industry, with a focus on credit risk and portfolio analysis.

Qualifications:

  • University degree in Maths, Physics, Engineering, with a strong exposure to quantitative methods and exposure to finance.
  • Postgraduate studies in a quantitative field (MSc, PhD) would be considered an advantage.
  • Minimum 3 years of relevant professional experience, in the area of quantitative portfolio or capital consumption modelling.
  • Experience in portfolio modelling techniques (e.g. copula functions) and a proven track record in their implementation is required. Quants with expertise in other quantitative fields e.g. market risk will also be considered.
  • Understanding of economic and regulatory capital pricing models
  • Expert knowledge of Excel, VBA and Python is required (alternatively Matlab). C++/Java would be an advantage.
  • Excellent knowledge of English and/or French (*), with a good command of the other. (Knowledge of other EU languages would be an advantage).

Competencies:

  • Find out more about EIB core competencies _here
- (*) Unless stated explicitly as a required qualification, a good command of French is not a pre-requisite for hire. As both English and French are however official working languages of the EIB, proficiency in both languages is a pre-requisite for your future career development. Any language clause in your contract must be fulfilled in order for you to be eligible for a promotion (either via the annual appraisal cycle or via an internal selection process). Proficiency is understood to mean the attainment of _level 5 of the Inter Institutional language courses, corresponding to B1.2 of the Common European Framework of Reference for Languages (CEFRL). The Bank offers appropriate training support._ _

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