Derivatives Quantitative Analyst

il y a 2 semaines

Luxembourg European Investment Bank Temps plein

The **EIB**, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C) - Group Financial Risk Department (GFIN) - Derivatives Division (DER) - Model Implementation Unit (MIU) at its headquarters in Luxembourg, a **Derivatives Quantitative Analyst (Quant)**.** **This is a full time position at grade 4/5 for which the EIB offers a permanent contract.**
- Panel interviews are anticipated for February/March 2023._
- (*) internal benchmark: (Associate) Officer Financial Risk Management_

**_ Do you enjoy developing models from scratch?_**

**_ Are you keen to work in a small team, with a high degree of autonomy and impact?_**

**_ If so, this could be the role for you_**

**Purpose**:
The EIB uses derivatives (mainly long-term cross currency and interest rate swaps, but also structured swaps) as part of its borrowing, ALM and treasury operations. The size of the portfolio is over EUR 850bn in nominal terms. In order to mitigate the counterparty credit risk the EIB enters into one-way collateral agreements (ISDA CSAs) with its counterparties.

The Derivatives Division within RM is responsible for derivatives valuation and counterparty credit risk measurement and limit monitoring. The Division uses transaction-level valuation models for structured swaps linked to interest rates, FX rates and inflation indices, and portfolio-level models covering all these risk factors for the calculation of credit, debt, collateral, funding, capital and liquidity valuation adjustments (XVAs), as well as the expected and potential exposures (EPE/PFE) used respectively in the economic capital calculations and risk reporting.

For more information on the Bank’s derivatives portfolio and its management of the counterparty credit risk, please see: European Investment Bank Group Risk Management Disclosure Report 2020 (eib.org)

The Derivatives Division has been using so far third-party models (Numerix) but has recently created the Model Implementation Unit in order to develop models in-house. Within the new Unit, you will contribute to:

- the specification of models together with the users
- model development and analysis
- model implementation in a robust and maintainable manner
- model testing
- monitoring model performance
- interaction with the Validation Division.

**Operating Network**:
Reporting to the Head of the Derivatives Model Implementation Unit, you will work in close collaboration with the Head of the Derivatives Division and other relevant colleagues within the Division and across the Bank.

**Accountabilities**:

- Contribute to the analysis and development of derivatives models and algorithms for IR, FX, Inflation and Equity derivatives, following new regulations and industry standards, in order to produce fair value of derivatives and counterparty credit risk measures
- Implement the above models and algorithms in the EIB’s internal valuation and risk system, coded in C#
- Document in detail the implemented models and algorithms
- Perform technical tests to ensure the operational robustness of the implemented models and algorithms according to the Unit’s testing strategy
- Extend and maintain the user interfaces of the internal valuation system, mostly the MS Excel add-in/tool
- Contribute to the validation and approval process for the implemented models and algorithms, following the Model Risk Management framework
- Update models and documentation to address open validation and audit points
- Participate in the design, development and maintenance of internal valuation tools and systems
- Monitor the performance of the models and algorithms in the internal valuation system and produce opinions on the impact of new operations, including changes to the existing framework to accommodate new products
- When requested, represent the Division in and contribute, in the form of quantitative analysis and impact assessment, to working groups and permanent committees
- Foster constructive working relations both within Risk Management on transversal topics (such as Validation) and beyond the Directorate on relevant cross Directorate topics
- Proactively assist the Head of Division and Head of Unit in the relevant activities of the Division

**Qualifications**:

- At least 3 years of professional experience related to derivatives valuation (IR and FX preferred), preferably including model development
- Experience in developing internal derivative valuation systems would be an asset
- Strong programming background in an object oriented language (C++, C#, Java, etc) is a must
- Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation, and with BCBS regulations, EBA standards and best banking practice in the field would be a plus
- Excellent knowledge of English and/or French (*), with a good command of the other.

**Competencies**:

- Find out more about EIB core competencies _here

(*) Unless stated explicitly as a required qualification, a good command

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