Quantitative Analyst - Financial Engineering

  • Competetive
  • Luxembourg
  • Contract, Full time
  • European Investment Bank.
  • 19 Sep 17

The FEAS division is supporting the lending activity of the bank by providing services on the pricing and hedging of lending-related products and the development of new lending products. The successful candidate will be required to (i) contribute to the on-going development of the Rate Setting application, developing and implementing both analytical pricing models and broader system updates responding to business requirements and market best practices; (ii) contribute to the pricing and rate quotation activity for EIB’s loan and guarantee products,and (iii) contribute to the development of new lending instruments from the quantitative side.

The EIB, the European Investment Bank, is seeking to recruit for its Finance Directorate (FI) – Treasury Department (TRE) – Financial Engineering and Advisory Services Division (FEAS/ IFSC) at its headquarters in Luxembourg, a:

 Quantitative Analyst - Financial Engineering

This is a full time position

 

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.

 

Purpose

 

The FEAS division is supporting the lending activity of the bank by providing services on the pricing and hedging of lending-related products and the development of new lending products. The successful candidate will be required to (i) contribute to the on-going development of the Rate Setting application, developing and implementing both analytical pricing models and broader system updates responding to business requirements and market best practices; (ii) contribute to the pricing and rate quotation activity for EIB’s loan and guarantee products, and (iii) contribute to the development of new lending instruments from the quantitative side (financial engineering, pricing and technical implementation).

 

Specific Post Environment

The post of a Quantitative Analyst - Financial Engineering, internally referred to as Loan Pricing and Product Development Officer, is qualified as "sensitive" and submitted to a specific Code of Conduct. The work location is the dealing room, in an open space working environment.

Operating Network

The successful candidate will report to the Head of Division and work in close collaboration with other quantitative analysts and Division members.

Internal contacts: Contacts with the IT Department will occur on a regular basis. S/he will also interact with other parts of the Bank’s Finance Directorate as well as with Lending and Restructuring Directorates and, occasionally, with Risk Management, the Legal Directorate and Internal Audit.

 

External contacts: Contacts with financial market counterparts for novel lending product development and provision of rate quotations for existing structured products. Contacts with consultants in the context of the ongoing re-design project and with consultants providing audits and validations, if the case may be.

 

Accountabilities

  • Contribute to regular tasks concerning the pricing of EIB’s loan and guarantee products, including special transactions (“interest rate quotation activity”).
  • Contribute to an ongoing project (target go-live in H2-2017) concerning a full re-design of the front office system used to channel and process the Bank’s pricing requests for all lending-related products of EIB
  • Maintain the “pricing core” of the front office system (currently MATLAB based)
  • Assist in the conceptual design of a new “pricing core” with a view to create a best-in-class implementation, both in terms of pricing methodology and technical implementation
  • Following the design phase, actively implement the migration of the “pricing core” towards a new platform
  • Maintain, on an on-going basis, a proper documentation of the implemented financial models
  • Provide guidance on quantitative questions
  • Keep abreast of latest market developments and (regulatory) practices in the domain of responsibility, assess impacts on pricing policy/models and implement changes reflecting policy updates in the pricing engine if the case may be.
  • Perform ad-hoc activities in special initiatives related to the responsibilities of the Division.

 

Qualifications

  • University degree in a quantitative domain such as Quantitative Finance, Statistics, Mathematics or Physics
  • Post-graduate studies in these subjects and professional qualifications, such as ACT qualifications, PRMIA or GARP for (Treasury) Risk Management or CQF for Quantitative Finance would be an advantage
  • At least 3 years of relevant professional experience in financial engineering or (risk) modelling with a focus on fixed income
  • Proven experience in quantitative software development, jointly with an IT Department, including specification drafting, release planning and testing
  • Sound knowledge of C++ and/or JAVA is required
  • Knowledge of MATLAB is a considerable plus
  • Knowledge of yield curve modelling and pricing of plain vanilla derivatives is required
  • Familiarity with Bloomberg/Reuters and database queries would be an advantage
  • Sound knowledge of the regulatory framework and market best practices (derivatives, liquidity, transfer pricing) is considered a plus
  • Excellent knowledge of English and/or French(*), with a good knowledge of the other. (Knowledge of other EU languages would be an advantage).

 

Competencies

  • Achievement Drive: continually keeps an eye on performance, focusing on improving it, showing drive and determination to meet short and long-term goals.
  • Change Orientation: Adapts to differences and changes in the environment; takes a flexible approach to reach outcomes.
  • Collaboration: Works cooperatively as part of a team; works collaboratively with peers across organisational boundaries based on a genuine interest in and an accurate understanding of others and their individual perspectives and concerns.
  • Organisational Commitment: Is willing to commit to an organisation whose mission is to support Europe and is open to diversity, and to align her/his own behaviour with the organisation’s needs and intrinsic values, acting  with integrity in ways that promote the organisation’s mission, policies and rules.

 

(*) There may be certain flexibility on this requirement, but limited to particularly suitable candidates who may not yet be proficient in one of the two languages. If selected, such candidates will be hired on the condition that they build up rapidly knowledge of the relevant language 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 believe that Diversity is good for our people and our business. We promote and value diversity and inclusion among our staff and candidates; irrespective of their gender, age, nationality, race, culture, education and experience, religious beliefs, sexual orientation or disability.