Quantitative Officer - Financial Engineer Quantitative Officer - Financial Engineer …

European Investment Bank
in Luxembourg
Contract, Full time
Last application, 04 Dec 20
Competitive
European Investment Bank
in Luxembourg
Contract, Full time
Last application, 04 Dec 20
Competitive
Posted by:
Monika Baran • Recruiter
Posted by:
Monika Baran
Recruiter
The Division supports the lending activity of the Bank by providing services on the pricing and hedging of lending-related products. The jobholder will contribute to this role by working towards achieving the following objectives: develop price models using the internal loan pricing application RASA and provide continuous support and guidance on the Bank’s quantitative matters (e.g. pricing models for new products). These would also entail further maintenance of RASA and participation in the pricing and rate quotation activity of the Bank.

The EIB, the European Union's bank, is seeking to recruit for its Finance Directorate (FI), Treasury Department (TRES), Financial Engineering and Advisory Services Division (IFSC) 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 January 2021.

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.

Purpose

The Division supports the lending activity of the Bank by providing services on the pricing and hedging of lending-related products. The jobholder will contribute to this role by working towards achieving the following objectives: develop price models using the internal loan pricing application RASA and provide continuous support and guidance on the Bank’s quantitative matters (e.g. pricing models for new products). These would also entail further maintenance of RASA and participation in the pricing and rate quotation activity of the Bank.

Operating Network

As (Senior) Quantitative Officer - Financial Engineer (internally referred to us (Senior) Loan Pricing and Product Development Officer), you will report to the Head of Division and work in close collaboration with other quantitative analysts and Division members.

You will be in contact with Risk Management (RM), others FI divisions and IT Department. Moreover you will also interact with other parts of the Bank, like Lending and Restructuring Directorates and, occasionally, with the Legal Directorate and Internal Audit. Externally, you will be in touch with financial market counterparts for new lending product development and provision of rate quotations for existing structured products.

Accountabilities

  • Guide the development and maintenance of the “pricing engine” of the RaSA application (currently based on MATLAB, soon to be switched to PYTHON). Is responsible for the methodological choices of financial models (evaluation and quotation). Monitoring of best market practices.
  • Support and bring expertise to the work of the other Quantitative Officers.
  • Liaise and coordinate with other Bank Services (RM, SPBS, etc.) in order to ensure that the methodologies deployed are shared and validated.
  • Ensure that the developments and maintenance of the pricing engine are fully and properly documented.
  • Contribute to the coding of the developments and adaptations of the engine in coordination with the other Quantitative Officers and under the supervision of the Senior Quantitative Officer in charge of the coding structure.
  • Guide the conceptual design of a new “pricing engine” to create a best-in-class implementation.
  • Oversee the quality of market data used by RaSA for pricing and quotation. Undertakes corrective actions for the market data outlier.
  • Understand the RaSA application (including workflows, high level implementation) and the "ecosystem applications" that are connected to RaSA
  • Guide and supervise the drafting of policy documents and provision of technical assistance in the areas of financial engineering, new products, risk management and quantitative analysis
  • Occasionally quote loan and guarantee products from the EIB. Provide support and expertise to the quotation of the most sophisticated products.

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 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 MATLAB and PYTHON is required
  • Mastery of yield curve modelling and pricing of interest rate derivatives is required. Excellent knowledge of financial product valuation.
  • Knowledge of Bloomberg/Reuters and database queries is required
  • Proficiency with the regulatory framework and market best practices (derivatives, liquidity, transfer pricing)
  • Excellent knowledge of written and spoken English and good command of French (*). Knowledge of another language of the European Union would be an asset.

Competencies

Find out more about EIB core competencies here:
https://www.eib.org/en/about/careers/careers-competencies/index-test

 

(*) 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 (*).

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: 7th December 2020

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

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