The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate – Group Financial Risk Department – Derivatives Division – Counterparty Credit Risk Unit, at its headquarters in Luxembourg, a (Senior) Derivatives Counterparty Credit Risk Officer (*). This is a full time position at grade 5/6. 

The term of the contract will be 4 years

Purpose

The Derivatives Counterparty Credit Risk Unit is in charge of managing the credit risk of derivatives transactions. Its tasks involve:

• setting minimum conditions and risk limits for derivatives counterparties
• specifying and monitoring counterparty risk measurement calculations
• reporting and monitoring compliance with limits of counterparty credit risk exposures
• contributing to exposure reduction in case of limit breaches or low limit availability
• monitoring collateral management activities
• negotiating the ISDA/CSA agreements in collaboration with FI
• computing liquidity and funding stress scenarios and internal risk charges
• performing credit risk stress tests related to derivatives.

As a (Senior) Officer in the team, you will lead and coordinate the monitoring and reporting on counterparty risk, risk measurement and risk reporting processes for Derivatives, in order to contribute to the effective implementation of risk management for Derivatives transactions in line with EIB’s financial risk policies.

Operating Network

Reporting to the Head of the Counterparty Credit Risk Unit, you will work in close collaboration with the Head of the Derivatives Division and a team of Quantitative Analysts

Accountabilities

• Develop, improve and implement changes in Derivatives risk management policies, processes and procedures, in line with new regulations and best practices
• Lead on the selection, specification and monitoring of counterparty credit risk measures, including Expected and Potential Future Exposures and regulatory exposure measures
• Design and monitor models for internal credit, liquidity, funding and collateral charges
• Oversee the counterparty credit risk limit use and availability reporting
• Report on risk positions, limit use and counterparty availability for new operations
• Back-test and perform other controls of the internal models, identify and implement corrective actions
• Advise and formulate independent opinions on the impact of new transactions, novations and changes in ISDA/CSA documentation on the fair value and internal credit , liquidity and funding charges and also the Potential Future Exposure
• Represent the Unit with other domains in the Bank (IT services, model validation and internal audit) in order to ensure that appropriate internal cooperation and controls are maintained

Qualifications

• University degree, preferably in a relevant field, such as Mathematics, Engineering, Physics, Computer Science, Finance or Economics with quantitative finance (Stochastic Calculus) as the major topic. Post-graduate studies and PRMIA or GARP certificates will be an advantage
• Significant professional experience acquired with a major derivatives dealer or user, with at least 5 years, extensive implication in derivatives counterparty credit risk management
• Very good knowledge of counterparty risk quantification, including Potential Future Exposure and capital charges calculations
• Good knowledge of BCBS regulations, EBA standards and best banking practice in the field
• Understanding of derivatives pricing models, counterparty risk quantification and derivatives liquidity and funding aspects
• Familiarity with XVA adjustments (CVA, DVA, CollVA, FVA, KVA, AVA)
• Very good programming background in a structured language (C, C++, C#, Python, etc.), with preference for object oriented programming languages
• Excellent knowledge of English and/or French (*), with a good knowledge of the other.

Competencies

(*) 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 (*).

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.

Deadline for applications: 15th November 2021.  Panel interviews are anticipated for November/December 2021 

The term of the 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) Officer Financial Risk Management

(*). We particularly welcome applications from women and persons with disabilities.