(senior) quantitative officer

Description du poste

The EIB, the European Union's bank, is seeking to recruit for its Operations (OPS) Directorate, Operations Support (OSD)3 Department, Business Development & Support (Bus Dev & Supp) Division, Models and Portfolio Analysis (MPA) at its headquarters in Luxembourg, a (Senior) Quantitative Officer. This is a full time position at grade 5/6. The term of this contract will be 4 years.Panel interviews are anticipated for March 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 organisational requirements and individual performance.PurposeContribute actively to the implementation of the Model Risk Management Policy as defined in the Audit Committee Roadmap, specifically in the project AC0017. Models are used across the EIB Group for a broad range of activities (incl., among others, lending appraisal, pricing, credit and financial risk management, capital and liquidity adequacy assessment, etc.). S/he will contribute to the development and set-up of new portfolio, capital and securitisation models as well as to the maintenance of existing ones, in cooperation with other departments in the Bank, including IT and Risk Management. S/he will also ensure that all models identified in OPS comply with the Bank’s Model Risk Management Policy and support model developers and users to implement and maintain the policy for their models.Operating NetworkAs (Senior) Quantitative Officer, internally referred to as (Senior) Officer Lending Operations, you will report to the Head of Unit and cooperate closely with quantitative officers and business support officers in the Division and the Operations Support Department (OSD).You will interface regularly with the management and officers of the Bank’s lending Directorate as well as of other Directorates.Accountabilities Act as main contact in point in OPS for the implementation and maintenance of the Bank’s Model Risk Management Policy. Support model developers and users in OPS at the implementation of requirement as defined in the Model Risk Management Policy for existing models and ensure that such models remain compliant with the Policy. Develop new and more efficient portfolio models, tailored to front-line product development needs. Participate in the definition and refinement of a first line of defence portfolio and capital consumption models. Provide quantitative, structuring and modelling advice to front-line officers in terms of portfolio analysis and capital consumption. Actively contribute to Ops’s role as model user and coordinate feedback with the Ops geographical departments as well as Mandate Management. In close cooperation with IT and data management colleagues, play an active role in defining technical specifications and quality standards for input data used in the models. Represent the Operations Directorate in internal discussions with other Directorates, in particular the EIB Risk Management. Proactively provide on a quarterly basis updates to the Audit Committee Secretariat, the Management Committee or the Ops senior management on the implications of new cost coverage framework and/or mandate profitability analysis. Proactively brief Ops Senior Management on model-related topics presented in the context of model related Committees and contribute to the representation of the Directorate in these Committees Represent the Directorate in the Model Risk Management project and actively contribute to the identification, monitoring and development of the models owned by Ops Keep abreast of the latest market trends in relation to modelling in the Banking industry.Qualifications University degree in Maths, Physics, Statistics, with a strong exposure to quantitative methods and exposure to finance, or a degree in finance or economics with very strong quantitative background. Postgraduate studies in a quantitative field (MSc, PhD) would be considered an advantage. Minimum 5 years of relevant professional experience, in the area of portfolio or capital consumption modelling. Strong knowledge of portfolio modelling techniques (e.g. copula functions) and a proven track record in their implementation is required. Understanding of economic and regulatory capital pricing models Expert knowledge of Excel, VBA, Matlab, Python is required. C++/Java would be an advantage. Good knowledge of English. Knowledge of French (*) and other EU languages would be advantageous.CompetenciesFind 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 languagesWe 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: 2 February 2021   (*).  We particularly welcome applications from women and persons with disabilities.#LI-POST

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