(Senior) Risk Officer - Capital Requirements and Pricing
The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Regulation and EIB Group Risk Department – Capital Management Division – Capital Requirements Unit, at its headquarters in Luxembourg, a (Senior) Risk Officer – Capital Requirements and Pricing (*). This is a full time position at grade 5/6.
Panel interviews are anticipated for October/November 2020
The term of this contract will be 4 years.
The EIB offers fixed-term contracts of up to a maximum of 6 years, according to business needs, with a possibility to convert to a permanent contract, subject to organisational requirements and individual performance.
(*) internal benchmark: (Senior) Credit Risk Management Officer
To contribute to the maintenance, development and implementation of EIB's capital requirements framework and risk pricing, in order to ensure that EIB credit portfolio modelling and risk measurement remain in line with best banking practices and that the risk borne by the Bank is correctly reflected in the risk pricing of its operations
Reporting to the Head of the Capital Requirements Unit, you will work in close collaboration with colleagues of the Capital Management Division, with regular contact within Risk Management and with other EIB Directorates and the European Investment Fund (EIF). You will also interact, on a case-by-case basis, with external counterparts, such as internal auditors, the Bank's Audit Committee, rating agencies, etc.
- Drive the maintenance of the Bank’s economic capital (ECAP) calculation engine, both from technical and methodological perspectives
- Contribute to the development and implementation of the economic capital (ECAP) model for all products of the Bank and of the Group, including new initiatives and Mandates
- Contribute to the development and maintenance of risk pricing methodologies
- Contribute to perform the economic capital projections and ECAP stress testing to be used in the context of the ICAAP, Group Capital Plan, Stress Testing Programme, among others
- Participate in the assessment of new business developments, new initiatives or new modelling best practices on the capital metrics of the EIB, concretely for ECAP purposes
- Lead the ECAP calculation process for the Bank and for the Group and contribute to the alignment of ECAP methodologies at Group level, when necessary
- Review, analyse and report on the evolution of the capital metrics to the management and stakeholders including capital adequacy assessment, risk appetite setting, ECAP limits definition, projections, simulations and stress testing
- Participate in horizontal tasks across the EIB Group related to ECAP requirements, in order to facilitate the execution of capital initiatives or projects with internal ECAP consumption
- Contribute to the methodological and data consistency between various capital measurement tools (regulatory capital, economic capital, risk-pricing models). Contribute to the development of a holistic risk view
- Contribute to the documentation of the Unit’s methodologies and procedures regarding ECAP
- Be the main contact for ECAP related matters within the Division and provide advice to the services on ECAP related topics.
- University degree, preferably in Business Administration, Economics Mathematics, Physics, Statistics or other related discipline. Post-graduate studies in one of these subjects or other relevant professional qualifications would be an advantage
- Significant professional experience in banking, financial services consultancy or risk management, of which at least 5 years in (economic or regulatory) capital requirements calculations, capital management or credit risk models in the context of capital requirements
- Familiarity with the main modern credit risk measurement methodologies and tools. Good understanding of credit portfolio tools (like Credit Metrics) would be considered an advantage
- Strong quantitative and analytical skills and understanding of complex financial structures
- Knowledge of the regulatory framework and recent developments (e.g. Basel III, EBA guidelines, BIS papers) would be an advantage
- Proficient knowledge of MS Excel, VBA, SAS, Python, Matlab, R or other programming languages
- Solid IT background and ability to work with large data sets (database querying, SQL). Familiarity with Business Objects would be an advantage
- Excellent knowledge of English and/or French (**) and a good command of the other. Knowledge of other EU languages would be an advantage
Find out more about EIB core competencies here: https://www.eib.org/en/about/careers/careers-competencies/index-test
(**) There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in French. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of French and accept that their future career in the EIB may be subject to the attainment of sufficient proficiency in both of the Bank's working languages
We are an equal opportunity employer, who believes that diversity is good for our people and our business. As such, we promote the inclusion of suitably qualified and experienced staff without regard to their gender, age, racial or ethnic origin, religion or beliefs, sexual orientation/identity, or disability (***).
(***) We particularly welcome applications from women and persons with disabilities.
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 unauthorized disclosure of any information or any damage to the EIB Group reputation.
Interested in this position?
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Deadline 10th October 2020