Quantitative Officer - Financial Engineer Quantitative Officer - Financial Engineer …

European Investment Bank
in Luxembourg, Luxembourg, Luxembourg
Contract, Full time
Last application, 30 Mar 20
European Investment Bank
in Luxembourg, Luxembourg, Luxembourg
Contract, Full time
Last application, 30 Mar 20
The 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 EIB, the European Union's bank, is seeking to recruit for its Finance Directorate, Treasury Department, Financial Engineering and Advisory Services at its headquarters in Luxembourg, a (Senior) Quantitative Officer - Financial Engineer. This is a full time position at grade 5/6.


The term of this contract will be 4 years

Panel interviews are anticipated for May 2020.

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 organizational requirements and individual performance.


The 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 (Senior) Quantitative Officer – Financial Engineer (internally referred to as (Senior) Officer Loan Pricing and Product Development) contributes to the role and the objectives of the division by:

  1. driving the development of pricing models and their implementation in the internal loan pricing application (“RaSA”)
  2. providing continuous support and guidance to the Bank on quantitative matters (e.g. pricing models for new products) in an independent manner
  3. submitting proposals related to business developments and needs for RaSA, and actively gathering requirements from business users taking part in the pricing and rate quotation activity for EIB’s loan and guarantee products,

Operating Network

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


  • Guide the development – on the quantitative side - of the “pricing core” of the RaSA application (currently MATLAB based)
  • Guide 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, oversee the implementation of the new “pricing core” in the RaSA application
  • Understand the RaSA application (incl. workflows, high-level implementation) and of the ‘ecosystem applications’ which are connected to RaSA
  • Draft policy papers and provide technical assistance to the Head of Division in the fields of financial engineering, new products, risk management and quantitative analysis
  • Contribute to regular tasks concerning the pricing of EIB’s loan and guarantee products as well as special transactions for the Lending and Restructuring Directorates (“interest rate quotation activity”)
  • Contribute to the maintenance and development of RaSA by providing first level support to users, carry out testing of the implementation and document test results
  • Supervise the maintenance of a proper documentation of the implemented financial models
  • Provide guidance on quantitative questions on loan pricing to colleagues in the Finance, Lending and Restructuring Directorates
  • 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


  • 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 5 years of relevant professional experience in financial engineering or (risk) modelling with a focus on fixed income and interest rate derivatives
  • Proven experience in quantitative software development, jointly with an IT Department, including specification drafting, release planning and testing
  • Sound knowledge of JAVA is required
  • Knowledge of MATLAB and PYTHON are 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 written and spoken English and good command of French (*). Knowledge of another language of the European Union would be an asset.


  • 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 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 (*).

Deadline for applications: Monday, 23rd March 2020.

(*). We particularly welcome applications from women and persons with disabilities.