(Senior) Risk Officer – Asset & Liability Management (ALM)

The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Group Financial Risk Department (GFIN) – ALM and Market Risk Division (ALM) – ALM Unit (AMU) at its headquarters in Luxembourg, a (Senior) Risk Officer – Asset & Liability Management (ALM)*.

This is a full-time position at grade 5/6 for which the EIB offers a permanent contract.

Purpose

As a (Senior) Officer, you will lead and coordinate the preparation of the Unit’s work packages targeting the EIB governing bodies, notably the production of the Group’s historical and projected profitability which contributes to the preparation of the Group Operational Plan and the Group Capital Plan. You will also set the loan pricing base rate curve and will participate in the build-up of new products and financial risk initiatives as deemed relevant for the Unit.

Operating Network

The Asset and Liability Management (ALM) Unit is mainly responsible for:

• Projections, simulations and stress testing of the Bank’s P&L and balance sheet
• Monitoring EIB Group’s profitability under the Fund Transfer Pricing view
• Supporting the periodic reviews of the Bank’s Interest Rate strategy
• Setting the EIB’s base rate curve (“Blue Curve”)
• Projecting the Bank’s funding needs
• Acting as second line of defence on financial risk topics covering, among others, the product pricing and the set up of new on and off balance sheet structures (such as new mandates for instance).

Reporting to the Head of Unit, you will work in collaboration with the Head of Division, colleagues within the Division and other teams across GR&C-Risk Management.  You will also closely interact with other EIB Directorates such as Front Offices for lending and funding, Financial Control, General Secretariat and Group Corporate Services.  Finally, you will interact externally with peer institutions, consultancy and audit firms.

Accountabilities

• Develop models in domains of loan pricing, fund transfer pricing, interest rate risk in the banking book (IRRBB), IRRBB capital charges, funding requirement analyses and other related areas
• Prepare business projections, analyses, stress tests and reports covering, among others, P&L, net interest income and funding
• Lead the Unit’s contribution to EIB Group Risk report and prepare explanations on the evolution of the reported metrics under the responsibility of the Unit
• Lead the production of the profitability per product line report, analyse trends and explain in a concise and clear manner the evolution of the key metrics
• Execute updates of EIB base lending curve (“Blue Curve”) and produce related reports
• Independently respond to ad-hoc requests including initiatives/policies related to the content of the post, and so in the form of quantitative analysis and impact assessments
• Automate processes in the Unit and suggest/implement related process improvements, including but not limited to the strengthening of the 2nd Line of Defence function and the streamlining of reporting activities
• Maintain and update the Financial Risk and ALM Guidelines and related procedures and methodologies
• Closely follow latest market and best banking practice evolutions on relevant subjects impacting the Division
• Foster constructive working relationships on transversal topics both within GR&C-RM and beyond (e.g. as part of the ICAAP, ILAAP, Capital Planning, Stress Testing…)
• Participate in discussions covering challenges to the sustainability of the Bank’s risk metrics
• Proactively assist the Head of Division and the Head of Unit in the relevant activities of the Division and provide guidance to more junior staff in the conception/execution of risk processes and use of applications.

To note that your activities will be performed using an agile and flexible new financial risk platform.

Qualifications

• University degree, preferably in a quantitative subject. Post-graduate studies in these subjects and professional qualifications such as PRM or FRM certifications would be an advantage
• Minimum five years of relevant professional experience relating to Financial Risk Management
• Strong knowledge of quantitative and financial modelling (e.g. yield curve modelling, VaR methodology, BPV calculation, transfer pricing systems, net interest income simulations, capital allocation models)
• Strong knowledge of ALM and market risk management techniques (theory, principles, regulation and practices)
• Thorough understanding of how financial markets (money-market, capital markets and derivatives) operate
• Knowledge of at least one of the following oriented-object programming languages would be considered as an advantage: C#, C++, Python, Java
• Knowledge of internally used IT systems like WSS (FK), Business Objects and CompatibL would be considered as an advantage
• Ability to work effectively in a high pressure, fast paced environment with multiple deadlines and competing priorities
• Good communication and interpersonal skills
• Excellent knowledge of English 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

(*) 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: 21st March 2023. Panel interviews are anticipated for April 2023.  

*internal benchmark: (Senior) Officer Financial Risk Management