(Associate) Derivatives Quantitative Officer

**This position is based at our Luxembourg headquarters and requires regular office presence. **The EIB offers you the opportunity to live and work in a truly international and multi-cultural environment. We also offer relocation support.
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) - Valuation Unit (VAU) at its headquarters in Luxembourg, a **(Associate) Derivatives Quantitative Officer**.**

**This is a full-time position at grade 4/5 for which the EIB offers a permanent contract.**
- _internal benchmark: (Associate) Officer Financial Risk Management_

**_ Panel interviews are foreseen as from January 2025._**

**Purpose**:
Are you a derivatives quantitative analyst with a passion for problem solving and an impactful job? Are you driven by the purpose? We are the #EU_Climat_Bank **driven by making a difference**: we all share a passion for helping shape a better future for the European Union and beyond.

As a **Derivatives Quantitative Officer**, you will be part of a team responsible for risk managing a sizeable derivatives portfolio, focusing on derivatives valuation and XVAs. The team is a Model Owner and therefore is accountable for the analytics produced and model choices. This role is highly technical, requiring good knowledge of models and programming (C# for production software and prototyping in Python). You will choose and develop models for IR, FX, and inflation derivatives as well as XVAs, ensuring compliance with regulatory standards and best practices.

You will interact with various stakeholders, including model users and validators, to maintain and enhance the accuracy of our valuation systems. Are you ready to contribute to a sustainable future and be at the heart of the European Union's Climate Bank's? We want to hear from you

**Operating Network**:
Reporting to the Head of the Derivatives Valuations Unit, you will work in close collaboration with the Head of Derivatives Division and a team of Quantitative Analysts.

**What will you do?**:

- Review models and implement new modelling approaches and enhancements
- Contribute to derivatives models and algorithms for IR, FX, Inflation and Equity derivatives, in line with new regulations and best practices
- Implement, monitor and report on derivatives valuations and valuation adjustments
- Monitor model outputs (valuations, XVAs, sensitivities, etc.) to propose and implement changes to the models and system built around third-party libraries.
- Act within the Model Risk Management framework, by liaising with different stakeholders, namely model users and validators.
- Contribute to the credit, debit and collateral valuation adjustment models (also used in counterparty credit risk and liquidity risk calculations)
- Contribute to the fair valuation of derivatives and structured products for accounting purposes.

**What is your profile?**:

- Minimum 3 years of experience in a derivatives modelling/ pricing related field (IR and FX preferred).
- Programming experience in a structured language (C++, C#, Python, etc). C# preferred.
- Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation would be desirable but not required.
- Familiarity with BCBS regulations, EBA standards and best banking practices in the field would be an advantage.
- Excellent knowledge of English and/or French (**) with a good command of the other.

**Competencies**:
Find out more about EIB core competencies here

To find out more about our eligibility criteria click 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.

**This is an open campaign to consecutively fill open positions. The campaign will remain open until position is filled. Applications will be reviewed in order of receipt.**

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