The EIB, the European Union’s bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Regulation & EIB Group Risk Department (GREG), Capital Management Division (CM), Capital Requirements Unit (CRU), at its headquarters in Luxembourg, a (Senior) Officer – Quantitative Risk Modelling for Structured Credit Portfolios*.

This is a full-time position at grade 5/6 for which the EIB offers a permanent contract.

*internal benchmark: (Senior) Officer Credit Risk Management

Panel interviews are anticipated for early October 2023

Purpose

As (Senior) Officer, you will design, develop, implement, and advise on credit portfolio models and pricing assessment for products of the EIB Group, in particular for structured credit portfolios.

Operating Network

Reporting to the Head of Unit, you will work within a team responsible for credit risk portfolio modelling, the Group’s capital requirements and risk pricing methodologies. You will have extensive contact with other EIB teams involved in the structuring and negotiation of bespoke structured credit transactions for a variety of counterparts, financing sustainability, climate, and development projects in Europe and worldwide.

Accountabilities

• Propose, develop, document, implement, and maintain quantitative credit risk models, in particular for structured portfolio products such as portfolio guarantees and securitisations, including collateralized debt obligations (CDOs). The purpose of the mentioned portfolio models is the calculation of standard portfolio risk metrics (including but not limited to Expected Loss, Value at Risk, Expected Shortfall) and pricing
• Contribute to the development and implementation of the economic capital (ECAP) model for all products of the Bank and of the Group
• Participate to the validation of existing and new models and address open validation and audit points
• Independently evaluate risks on credit products and structured portfolios
• Provide modelling and structuring advice on a range of debt instruments, having regard to both their internal (economic) and external (regulatory) capital impact and treatments
• Engage in longer-term systems design and IT developments aimed at keeping the Bank at the forefront of market and regulatory developments in quantitative credit risk modelling
• Represent the Division in working groups and committees when requested, provide guidance to Services on technical and quantitative matters on the above-mentioned areas.

Qualifications

• University degree (minimum an equivalent to a Bachelor), preferably in a quantitative discipline such as Mathematics, Physics, Quantitative Finance or Computer Science. Postgraduate studies or certifications (e.g., CQF, FRM, PRM) in a quantitative field would be considered as an advantage
• At least 5 years’ experience in building, implementing, and/or using quantitative models in credit risk or in structuring credit products (securitization, CDOs, CLOs, CBOs, ABS, MBS, CDS, hybrid securities, guarantees)
• Strong quantitative and analytical skills and understanding of complex financial structures
• Strong programming skills in Python (preferred) or Matlab, R or other object-oriented programming languages
• Excellent knowledge of English and/or French (*) with a good command of the other. Knowledge of other EU languages would be an advantadge.

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.

We are an equal opportunities employer, who believes that diversity is good for our people and our business. We encourage all suitably qualified and eligible candidates to apply regardless of their gender identity/expression, age, racial, ethnic and cultural background, religion and beliefs, sexual orientation/identity, disability or neurodiversity.

Applicants with specific needs are encouraged to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team [email protected] who will ensure that your request is handled.

By applying for this position, you acknowledge the importance of maintaining the security and integrity of the Information of the EIB Group. In case of selection for the position you agree to comply with all measures (policies, controls, document classification and management) implemented by the EIB Group to prevent unauthorised disclosure of any information or any damage to the EIB Group reputation.

Deadline for applications: 14^th September 2023

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