Derivatives Quantitative Analyst (Quant)

Recruiter
EIB - European Investment Bank
Location
London, United Kingdom
Salary
57000.00 - 85000.00
Posted
23 Jul 2022
Closes
22 Aug 2022
Ref
16008382
Job Function
Accounting/Audit/Tax
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C) - Group Financial Risk Department (GFIN) - Derivatives Division (DER) at its headquarters in Luxembourg, a Derivatives Quantitative Analyst (Quant)*. This is a full time position at grade 4/5.
Do you enjoy developing models from scratch?

Are you keen to work in a small team, with a high degree of autonomy and impact?

If so, this could be the role for you!

Purpose

The EIB uses derivatives (mainly long-term cross currency and interest rate swaps, but also structured swaps) as part of its borrowing, ALM and treasury operations. The size of the portfolio is over EUR 850bn in nominal terms. In order to mitigate the counterparty credit risk the EIB enters into one-way collateral agreements (ISDA CSAs) with its counterparties.

The Derivatives Division within RM is responsible for derivatives valuation and counterparty credit risk measurement and limit monitoring. The Division uses transaction-level valuation models for structured swaps linked to interest rates, FX rates and inflation indices, and portfolio-level models covering all these risk factors for the calculation of credit, debt, collateral, funding, capital and liquidity valuation adjustments (XVAs), as well as the expected and potential exposures (EPE/PFE) used respectively in the economic capital calculations and risk reporting.

For more information on the Bank's derivatives portfolio and its management of the counterparty credit risk, please see: https://www.eib.org/attachments/publications/eib_group_risk_management_disclosure_report_2020_en.pdf European Investment Bank Group Risk Management Disclosure Report 2020 (eib.org)

The Derivatives Division has been using so far third-party models (Numerix) but has recently created the Model Implementation Unit in order to develop models in-house. Within the new Unit, you will contribute to:
  • the specification of models together with the users
  • model implementation in a robust and maintainable manner
  • model testing
  • monitoring model performance
  • interaction with the Validation Division.

Operating Network

Reporting to the Head of the Derivatives Model Implementation Unit, you will work in close collaboration with the Head of the Derivatives Division and other relevant colleagues within the Division and across the Bank.

Accountabilities
  • Contribute to the analysis and development of derivatives models and algorithms for IR, FX, Inflation and Equity derivatives, following new regulations and industry standards, in order to produce fair value of derivatives and counterparty credit risk measures
  • Implement the above models and algorithms in the EIB's internal valuation and risk system, coded in C#
  • Document in detail the implemented models and algorithms
  • Perform technical tests to ensure the operational robustness of the implemented models and algorithms according to the Unit's testing strategy
  • Extend and maintain the user interfaces of the internal valuation system, mostly the MS Excel add-in/tool
  • Contribute to the validation and approval process for the implemented models and algorithms, following the Model Risk Management framework
  • Update models and documentation to address open validation and audit points
  • Participate in the design, development and maintenance of internal valuation tools and systems
  • Monitor the performance of the models and algorithms in the internal valuation system and produce opinions on the impact of new operations, including changes to the existing framework to accommodate new products
  • When requested, represent the Division in and contribute, in the form of quantitative analysis and impact assessment, to working groups and permanent committees
  • Foster constructive working relations both within Risk Management on transversal topics (such as Validation) and beyond the Directorate on relevant cross Directorate topics
  • Proactively assist the Head of Division and Head of Unit in the relevant activities of the Division

Qualifications
  • University degree, ideally in a relevant/quantitative subject (eg Computer Science, Engineering, Physics, Mathematics, Finance). CQF or similar certifications would be an advantage
  • At least 3 years of professional experience related to derivatives valuation (IR and FX preferred), preferably including model development
  • Experience in developing internal derivative valuation systems would be an asset
  • Strong programming background in a structured language (C, C++, C#, etc) is a must
  • 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 plus
  • Excellent knowledge of English and/or French (*), with a good knowledge of the other.

Competencies

Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index.htm 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 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 unauthorized disclosure of any information or any damage to the EIB Group reputation.

Deadline for applications: 5th September 2022. Panel interviews are anticipated for September 2022. The anticipated start date of the contract is 1st January 2023.

The term of this 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) Officer Financial Risk Management
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