(Senior) Derivatives Quant (Senior) Derivatives Quant …

EIB - European Investment Bank
à Luxembourg
CDD, Plein-temps
Dernière candidature, 22 juin 21
70000.00 - 110000.00
EIB - European Investment Bank
à Luxembourg
CDD, Plein-temps
Dernière candidature, 22 juin 21
70000.00 - 110000.00
The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Financial Risk Department

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 (Senior) Derivatives Quant. This is a full time position at grade 5/6.

Purpose

To implement, monitor and report on derivatives valuations and valuation adjustments; to drive the development of internal pricing tools and systems; to review existing models, and implement new modelling approaches in the current production systems, with external libraries

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 Quants.

Accountabilities

  • Develop, and contribute to, the derivatives pricing system for IR, FX, Inflation and Equity derivatives, in line with new regulations and best practices
  • Contribute to the maintenance and development of the code in pricing systems (production system, alternative pricing tools)
  • Report on valuations and produce opinions on the impact of new transactions, including changes to the existing framework to accommodate new products
  • Contribute to the Model Risk Management framework, by liaising with different stakeholders, proposing and implementing changes to the current production system
  • Contribute to the credit, debit and collateral valuation adjustment models (also used in counterparty credit risk and liquidity risk calculations)
  • Compute and report fair value of derivatives and structured products for accounting purposes
  • Contribute to the development and maintenance of an in-house pricing library, by applying best coding practices and advising on architecture to be applied
  • Represent the Unit and the Bank in interactions with internal and external parties.

Qualifications

  • University degree, ideally to post-graduate level and in a relevant field, such as Computer Science, Engineering, Physics, Mathematics, or Finance. CQF or similar certificates will be an advantage
  • Significant relevant experience in programming or a related field, of which at least 5 years related to derivatives modelling and/or pricing
  • Programming expertise in a structured language (C, C++, C#, Python, etc) is a must
  • Knowledge of third party libraries and regulatory requirements for derivatives is desirable but not required
  • 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 a strong asset
  • Excellent knowledge of English and/or French (*), with a good knowledge of the other

Interested?

Apply via the “apply” button!

Competencies

Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index-test 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:  11th June 2021. Panel interviews are anticipated for June/July 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) Financial Risk Management Officer

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