Quantitative / Risk Analyst(S) / Manager(S)

il y a 2 semaines

Luxembourg European Investment Fund Temps plein

**EIF Posting**:
The **European Investment Fund** **(EIF)** is seeking to recruit for its **Equity Investments and Guarantees Department’s Analytics Unit** and** Risk Management Department’s Portfolio Risk Management Unit, **at its headquarters **in Luxembourg**, several **Quantitative / Risk Analyst(s) / Manager(s). **These are full-time positions at grade 4/5 for which the EIF offers a permanent contract.***

This is a generic campaign in view of both current and future vacancies.

Panel interviews via video-conference are anticipated for September 2023.

**_ Purpose:_**

This selection process covers roles for 2 different teams, _Analytics Unit_ and _Portfolio Risk Management Unit_ (PRM)_.

The roles cover primarily:

- _For Analytics Unit:_

The Quantitative Analyst/Manager will primarily be in charge of measuring risk in credit portfolios and will assume responsibility for the development and maintenance of internal quantitative models, methodologies, and front office analytics tools.
- _For Portfolio Risk Management Unit (PRM): _

Provide support for the valuation and risk assessment of new products / mandates and the existing portfolio of securitization, guarantee and equity funds, as well as the implementation of the strengthened Group Model Risk Management Policy at EIF and back-testing action plan.

**_ Operating Network:_**
- _For Analytics Unit:_

You will work under the guidance of more senior colleagues and report to the Head of Analytics Unit, who in turn reports to the Head of Strategy Coordination, Product Development & Analytics Division. You will work in close cooperation with other members of the Division, members of the Equity Investments and Guarantees Department, and have contacts with colleagues in other EIF departments, particularly in Risk Management, and counterparts within the EIB Group.
- _For Portfolio Risk Management Unit (PRM): _

You will report to the Head of the Portfolio Risk Management Unit, who in turn reports to the Head of the Transaction and Portfolio Risk Division. According to your area of expertise and interest, you will work in close cooperation with other members of EIF Risk Management and have contacts with colleagues in other EIF departments and the European Investment Bank or the European Commission.

**_ Responsibilities:_**

At a level commensurate with your experience and according to your area of expertise and interest, you will have the following responsibilities:

- For Analytics Unit:_
- Support the front office execution team and the colleagues in the Division, during the due diligence phase, with quantitative analysis of new structured finance transactions and mandates (securitizations and risk-sharing mandates mainly) in terms of credit risk assessment, rating model simulations and sensitivities;
- Support the quant modeling team during interactions with Risk Management for agreement on credit risk assessment as well as for the periodical reviews of credit risk methodologies, including backtesting methodologies;
- Run periodic quantitative assessment and analysis, including rating models re-runs, during the implementation stage of structured finance transactions;
- Improve and maintain the implementation of in-house simulation tools, rating models and other existing tools;
- Assist in the conceptual design of the model core, new analytics tools and testing the quantitative methodology with a view to create a best-in-class implementation;
- Develop quantitative scripts and tools to enhance productivity;
- Utilize data mining and machine learning techniques to derive business insights and support decision-making processes;
- Ensure proper documentation in English of the implemented quantitative analytics, financial models, and methodology;
- Provide technical guidance and support on quantitative questions and system implementations;
- Support colleagues from various teams across the Division on quantitative/programming matters;
- Keep abreast of the evolution of market practice for credit portfolio analytics.
- For Portfolio Risk Management Unit (PRM): _
- Use EIF Base Models for the analysis of securitization and guarantee transactions, such as:

- Assignment of internal ratings, capital allocation, cash flow projections and IFRS 9 / IPSAS 41 valuations
- Amendments to accommodate new mandates or transactions and build tools to facilitate portfolio analysis;
- Contribute to the analysis of new EIF products and mandates under development and provide advice and recommendations where necessary;
- Perform EIF and EIB Group level stress testing;
- Contribute to the EIF Model Governance Framework by:

- Collaborating with EIB teams to ensure a consistent approach to model risk across the Group;
- Developing, enhancing, and performing back-testing procedures for EIF risk models;
- Drafting and monitoring validation reports / reviews;
- Ensuring maintenance of model inventory for EIF models and coordinating with model owners and model users to maintain m

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