Derivatives Quant (107477) Derivatives Quant (107477) …

EIB - European Investment Bank
à Luxembourg
CDI, Plein-temps
Soyez parmi les premiers à postuler
EIB - European Investment Bank
à Luxembourg
CDI, Plein-temps
Soyez parmi les premiers à postuler
Derivatives Quant (107477) at EIB

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Financial Risk Department – Derivatives Division – Valuation Unit - at its headquarters in Luxembourg, a Derivatives Quant. This is a full time position at grade 4/5.


To implement, monitor and report on derivatives valuations and valuation adjustments, and contribute to the development of pricing risk measurement tools and models in order to support the effective implementation of risk management for derivatives transactions, in line with EIBG’s financial risk policies.

Operating Network

Reporting to the Head of the Derivatives Valuations Unit, you will work in close collaboration with the Head of the Derivatives Division and a team of Quantitative Analysts and will also maintain contact with other functions of the Bank, most notably the Funding Directorate and IT. 

Externally, you will have contact with external auditors, and derivatives counterparties regarding disputes in valuations for collateral


  • Contribute to the selection and set up of derivatives models and algorithms for IR, FX, Inflation and Equity derivatives, in line with new regulations and industry standards
  • Update models and documentation to address open validation and audit points
  • Participate in the validation of existing and new models
  • Report on valuations and produce opinions on the impact of new operations, including changes to the existing framework to accommodate new products
  • Contribute to the opinions the Unit produces regarding new products, and set up new models if required, backed by substantial analysis
  • Review and update the XVA model (also used in counterparty credit risk and liquidity risk calculations)
  • Compute and report fair value of derivatives and structured products for accounting purposes
  • Improve and update the existing models and implement new modelling approaches
  • Contribute to the Model Risk Management framework, by liaising with different stakeholders, proposing and implementing changes to the current production system.
  • When requested, represent the Division in and contribute, in the form of quantitative analysis and impact assessment, to working groups and permanent committees


  • University degree in a relevant field such as Mathematics, Engineering, Physics, Computer Science, Finance. Post-graduate studies, CQF or similar certificates will be an advantage
  • At least 3 years of relevant experience including a good knowledge of derivatives models and related calculations
  • Programming skills in a structured language (in particular C++ or C#) would be an advantage
  • Knowledge of third party systems (eg Numerix, Calypso), libraries, and regulatory requirements for derivatives would be an advantage
  • Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation, and with BCBS regulations, EBA standards and best banking practice in the field would be an asset
  • Excellent knowledge of English and/or French (*), with a good knowledge of the other


Find out more about EIB core competencies here

(*) 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 unauthorised disclosure of any information or any damage to the EIB Group reputation.

Deadline for applications:  22nd August 2021.  The next steps of the selection process are foreseen for end August/early September 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: (Associate) Financial Risk Management Officer

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