(Associate) Credit Risk Model Officer

The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Group Risk Strategy Division (GRS) – Partnerships Unit (PARTNERSHIPS), at its headquarters in Luxembourg, an (Associate) Credit Risk Model Officer (*). This is a full time position at grade 4/5 for which the EIB offers a permanent contract.

Purpose

The https://www.eib.org/en/products/mandates-partnerships/investeu/index.htm InvestEU regulation makes the EIB Group (EIBG) the main implementing partner under this programme, and foresees two key roles for the EIBG:

1. As the main Implementing Partner responsible for delivering 75% of the programme
2. As banking partner of the EC, providing advice, risk management support and other banking services for implementation of the whole of the InvestEU programme.

For the latter role, the European Commission (EC) relies on EIBG resources, systems and expertise to develop the risk management systems required to support the sound financial management of an up to EUR 38bn guarantee. 

There is a conflict of interest between the EIBG as a beneficiary of the InvestEU guarantee and as risk management partner of the EC. Moreover, the EIBG as risk management partner will have access to confidential information provided by InvestEU beneficiaries other than EIB. Consequently, the EIBG must address these two critical issues via an appropriate detachment of this function from the rest of EIB operations. This is expected to be done through the Partnerships Unit under GR&C 

The Partnerships Unit ensures the management of the InvestEU Guarantee Fund and future third-party mandates by providing independent credit and portfolio risk assessment, banking-related advice and financial impact assessment to the EC and other third parties.

The team conducts independent credit risk assessment and pricing for a portfolio of budgetary guarantees supporting a wide variety of asset classes. The team also provides independent banking advice for the structuring of guarantee contracts, so that their risk is managed within the agreed risk appetite boundaries. It is also tasked to design, implement and maintain quantitative tools for the calculation of the portfolio risk and the risk pricing.

The team, housed in EIB’s GR&C Directorate, is comprised of four credit risk experts (including the Head of Unit) and a senior quantitative analyst, acting as risk advisors to government officials in charge of managing credit risk guarantees supported by public budgets.

As (Associate) Officer in the Partnership Unit, you will contribute to the development, implementation, maintenance and improvement of the Unit’s quantitative models and tools in order to support the management of the InvestEU Guarantee Fund and other third-party mandates.

Operating Network

Reporting to the Head of Partnerships Unit, you will work closely with colleagues with very diverse profiles and backgrounds and across GR&C. You may be also requested to contribute to the development of the risk portfolio and pricing models managed by other Divisions within GR&C. You will cooperate with colleagues from other Directorates in the Bank, in particular with Front Office lending, the Secretariat General, and the Economics Department.

Accountabilities

• Conduct regular runs (using existing models and tools) for the calculation of fair price and standard portfolio risk metrics (including but not limited to Expected Loss, Value at Risk, Expected Shortfall)
• Contribute to the implementation and maintenance of models and tools for risk assessment and pricing in different capital positions in investment portfolios across different asset classes, including debt (granular and non-granular portfolios) and equity exposures
• Participate in the prototyping of market, funding and credit risk tools according to best banking practices while understanding and adapting to the specific limitations of non-banking third parties, notably the European Commission
• Conduct statistical analysis of internal and external data covering credit, market and funding risk
• Document methodologies and processes and adapt the communication to audiences with varying degrees of technical knowledge
• Contribute to the Bank's efforts to maintain compliance with applicable best banking practices in the area of portfolio modelling and risk pricing
• Assist the team members in designing and managing the Partnerships Unit’s key data and reporting templates with a view to deliver an excellent and timely risk assessment to the EC and other potential third parties
• When needed, contribute to organising demos and addressing all internal and external queries related to risk assessment/measurement and pricing with both expert and non-expert stakeholders.

Qualifications

• University degree, preferably in a STEM subject with relevant exposure to finance or risk management, or in Finance or Economics with experience in a quantitative and/ or IT domain. Related post-graduate studies or other relevant professional qualifications would be an advantage
• Minimum 3 years' relevant professional experience, preferably gained in credit risk modelling, credit portfolio/economic capital or counterparty exposure modelling
• Knowledge of the regulatory framework, rating agency scoring models or rating scales and their mapping is an advantage
• Good knowledge of Python, Excel/VBA or object-oriented programming languages Ability to work with large data sets (database / SQL, Python Pandas or equivalent)
• Excellent knowledge of English (written and oral) and/or French (*), with a good command of the other

Competencies

Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index.htm here

More specifically, for this role, we are seeking someone with:

• Integrity, analytical rigour, team spirit
• A proven ability to interact with, and clearly communicate complex and technical concepts to, a non-technical audience
• A proven capacity to work proactively and efficiently with a diverse set of technical profiles and backgrounds, in a multicultural and inclusive environment
• Demonstrated independence when dealing with tasks, and the capacity to plan, organise and prioritise work in a heavy workload environment.

(*) 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 Jobs@eib.org 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: February, 6th 2023.  Panel interviews are anticipated for February/March 2023.

(*) internal benchmark: (Associate) Officer Credit Risk Management