(Senior) Officer - Quantitative Risk Modelling for Structured Credit Portfolios

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.

Do you have a strong quantitative background and experience working with quantitative (credit) risk models and solutions? Do you have exposure to structured portfolio modelling? Would you like to experience new challenges, working for one of the leading users of synthetic securitisations in Europe? If so, this role could be for you.

Purpose

As (Senior) Officer, you will develop, implement and advise on advanced risk measurement methodologies for the quantitative risk assessment of structured (credit) portfolios and will apply such methodologies to quantitatively assess various structured portfolios from risk and remuneration perspectives.

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, and you will have extensive contact with other EIB teams involved in the structuring and negotiation of bespoke structured credit transactions.

Accountabilities

• Propose, develop, implement and maintain quantitative credit risk models and solutions, especially in the domain of structured portfolio modelling
• Engage in longer-term systems design and development aimed at keeping the Bank at the forefront of market and regulatory developments in quantitative credit risk modelling
• Independently evaluate and assess risks on complex credit products and structured portfolios
• Provide advice and recommendations on complex credit risk issues and related policies for (credit) risk management, aligning the EIB with best banking practices
• Provide modelling and structuring input and support on a range of complex lending and investment instruments, having regard to both their internal (economic) and external (regulatory) capital impact and treatments
• Contribute to relevant committees and working groups to represent the Directorate‘s interests in the domain of (credit) risk measurement.

Qualifications

• University degree, preferably in a quantitative disciple (such as Maths, Physics or Quantitative Finance)
• At least 5 years’ experience of building, implementing and using quantitative risk models, preferably in relation to credit risk and ideally to structured credit products or portfolios
• Sound knowledge of regulatory requirements, especially in relation to structured finance/synthetic securitisation
• Strong programming skills (Matlab, R or Python preferred) and ability to work with large data sets
• Excellent knowledge of English and/or French (*) with a good command of the other. Knowledge of other EU languages would be an advantage.

Competencies

Find out more about EIB core competencies via the 'Apply' button. 

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 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: 17th February 2023. Panel interviews are anticipated for March 2023.

*internal benchmark: (Senior) Officer Credit Risk Management