(Senior) Quant
Il y a 3 mois
The **EIB**, the European Union's bank is seeking to recruit for its Finance Directorate (FI), Strategy, Policies & Business Support Department (SPBS), Financial Policies and Methodology Division (FPM) at its headquarters in Luxembourg, a **(Senior) Quant**.**
**This is a full-time position at grade 5/6 for which the EIB offers a permanent contract.**
- _internal benchmark: (Senior) Officer_
- Panel interviews are anticipated for beginning of October. _
**Purpose**:
Develop, implement and maintain certain quantitative models, related to derivatives valuation and asset and liability management topics / matters in order to support the Finance Directorate (FI) in performing its 1st line of defence duties.
**Operating Network**:
The Financial Policies and Methodologies Division (FI/SPBS/FPM) supports the Finance Directorate (FI) in the design, implementation and revision of financial policies and methodologies related to FI activities (treasury, capital markets, middle and back-office) and related to the financial management and financial risks managed in 1st line by FI (interest rate, FX, liquidity and counterparty credit risks).
The (Senior) Quant reports to the Head of Division and works in close collaboration with the other members of the division. S/he also frequently interacts with colleagues working in the Operational Support and Monitoring (FI/SPBS/OSM) division, in the Systems and Data Management (FI/SPBS/SDM) division, in the Quantitative Implementation Unit (FI/SPBS/-/QI), 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.
- Represent the Division 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**:
- 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).
- Strong knowledge of programming and of one or several analytical software packages such as Python, C#, C++, SQL, and more generally, solid IT literacy.
- Good interpersonal skills and client oriented / service provider approach.
- Good organisational skills and capability to prioritise.
- 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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