Website European Investment Bank (EIB)
As (Senior) Quantitative Financial Risk Officer, you will prototype, implement, and update quantitative models, in domains relevant to the EIB’s ALM and Market Risk Division, in line with the Bank’s financial risk policies and relevant best banking practices, regulations and EIB Group’s evolving business requirements. Such models cover a broad range of areas, for example:
- Interest Rate Risk in the Banking Book (including all market risk models)
- Interest Rate Risk Strategy and Interest Rate Risk Appetite
- Pension Risk Modelling
- Funds Transfer Pricing and its sub-components
- Loan Pricing
- Stress Testing
- ICAAP related calculations
- Long-Term Funding Strategy and
- Operational Planning
- Operating Network
- Reporting to the Head of the Quantitative Model Implementation Unit, you will work closely with colleagues from across the Bank (Risk Management, Finance, Financial Control, Corporate Services, and, as the case may be, Internal Audit). You will also interact externally with consultancy and software development firms for risk management and data matters.
- Take the lead in developing, prototyping, implementing and updating quantitative models for relevant domains (as described above):
- steering the implementation of all required technical functionalities
- creating smart specifications for the software vendors, by building prototype models for future integration by the vendors or by performing in-house developments directly
- designing acceptance tests and overseeing their execution
- Contribute to the consolidation, in the long run, of the Division’s risk management models and applications into a single environment, ensuring adequate configuration of the Division’s tools, in order to facilitate the production of relevant and meaningful risk reports
- Respond to ad-hoc/non-recurrent demands, as selected by the Head of Unit/Head of Division, including new initiatives/policies related to the content of the post.
- University degree, preferably in a quantitative field. Post-graduate studies in a relevant field and/or professional qualifications such as PRM or FRM certifications would be an advantage
- Extensive relevant professional experience gained in a bank, financial institution, or related consultancy, including at least 5 years in a quantitative and/or financial modelling role (for example derivative valuations, pricing models, yield curve modelling, net interest income simulations, transfer-pricing systems, capital allocation models or risk / sensitivity calculations)
- Direct experience in the design and implementation of financial or risk models, e.g. design and implementation of pricing libraries, risk applications or (ALM) calculation and projection tools
- Hands-on experience with at least one object oriented programming language, eg C#, C++, Python, Java
- Excellent knowledge of English and/or French (*), with a good knowledge of the other. Knowledge of other European languages would be an advantage.