(Senior) Quantitative Officer – Liquidity Risk (Senior) Quantitative Officer – Liquidity Risk …

EIB - European Investment Bank
in Luxembourg
Permanent, Full time
Last application, 27 Nov 20
Competitive
EIB - European Investment Bank
in Luxembourg
Permanent, Full time
Last application, 27 Nov 20
Competitive
.

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Financial Risk Department – Treasury & Liquidity Risk Division – Liquidity Risk Unit – at its headquarters in Luxembourg, a (Senior) Quantitative Officer – Liquidity Risk (*). This is a full time positions at grade 5/6.

The term of the contract will be 4 years

Panel interviews are anticipated for early/mid December 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 organisational requirements and individual performance.

(*) internal benchmark: (Senior) Financial Risk Management Officer

Purpose

To strengthen RM’s analytical and policy functions relating to liquidity risk management, through the design, review and maintenance of financial risk policies and methodologies, in line with relevant best banking practices/regulations and the evolving business requirements of the EIB Group

Operating Network

Reporting to the Head of the Liquidity Risk Unit (LRU), you will work in close cooperation with colleagues within RM and across other EIB Group Directorates, notably Front Office Treasury, Lending, Financial Control, Information Technology and Internal Audit.

You may also interact externally, with peer institutions, consultancy and audit firms, rating agencies, supervisors and regulators, for liquidity risk management matters.

Accountabilities

  • Develop and implement quantitative models in domains relevant for the Division, as selected by the Head of Unit. Such domains may include, but would not be restricted to:
    • Internal Liquidity Risk Metrics
    • Regulatory liquidity risk indicators (LCR and NSFR)
    • Liquidity Risk modeling and stress testing
    • Intraday Liquidity Risk
  • In the context of an overall initiative to strengthen the technical solutions used by LRU, and more broadly by the Treasury and Liquidity Division:
    • Ensure the consolidation of the liquidity risk management models and applications into a single environment (such as C# and/or Python, for example), thereby facilitating the production of related risk reports and the execution of related risk monitoring activities
    • Contribute to the rationalisation of current End User Computing tools (Excel files) as the case may be
  • Drive the data control process of the Division in order to ensure that the risk data are accurate and reliable
  • When needed, represent the Unit in working groups and permanent committees (e.g. the ALCO).
  • Respond to ad -hoc/non-recurrent demands, including new initiatives/policies related to the content of the post, when needed

Qualifications

  • University degree, preferably in a Quantitative subject such as Mathematics, Physics, Computer Science, Financial Engineering, or Quantitative Finance. Post -graduate studies in these subjects and professional qualifications such as PRM or FRM certifications would be an advantage
  • Minimum 5 years of relevant professional experience, at Officer level, preferably in the domain of liquidity risk, including exposure to quantitative and financial modelling
  • Hands-on experience in designing and implementing financial or risk models, e.g. design and implementation of risk applications, models, financial projection tools and pricing libraries
  • In-depth command of Excel and VBA (to contribute to the current reporting activities and to improve/automate further reporting tools)
  • Hands on experience with at least two programming languages such as C#, C++, SQL, Python, MatLab, Java, or other related languages. Past strong exposure to C# is a distinct advantage
  • Experience with the risk management software solution “Compatibl” would be a plus
  • Excellent knowledge of English and/or French (*), with a good command of the other

Competencies

Find out more about EIB core competencies 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 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 (**).

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

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:  28th November 2020

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Please click on the 'Apply' Button if you are interested!

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