(Senior) Derivatives Valuation Officer – based in Luxembourg

This position is based at our Luxembourg headquarters and requires regular office presence. The EIB offers you the opportunity to live and work in a truly international and multi-cultural environment. We also offer relocation support.

The EIB, the European Union's bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Group Financial Risk Department (GFIN) – Derivatives Division (DER) – Valuation Unit (VAU) at its headquarters in Luxembourg, a (Senior) Derivatives Valuation Officer*.

This is a full-time position at grade 5/6 for which the EIB offers a permanent contract.

• internal benchmark: (Senior) Officer Financial Risk Management
  
  

Purpose

Are you a derivatives quantitative analyst with a passion for problem solving and an impactful job? Are you driven by the purpose? We are the #EU_Climat_Bank driven by making a difference: we all share a passion for helping shape a better future for the European Union and beyond.

As a Derivatives Valuation Officer, you will be part of a team responsible for risk managing a sizeable derivatives portfolio, focusing on derivatives valuation and XVAs. The team is a Model Owner and therefore is accountable for the analytics produced and model choices. This role is highly technical, requiring good knowledge of models and programming (C# for production software and prototyping in Python). You will choose and develop models for IR, FX, and inflation derivatives as well as XVAs, ensuring compliance with regulatory standards and best practices.

You will interact with various stakeholders, including model users and validators, to maintain and enhance the accuracy of our valuation systems. Your proactive critical reasoning skills and technical expertise will be crucial in driving the success of our team. Are you ready to contribute to a sustainable future and be at the heart of the European Union's Climate Bank's? We want to hear from you!

Operating Network

Reporting to the Head of the Derivatives Valuations Unit, you will work in close collaboration with the Head of Derivatives Division and a team of Quantitative Analysts.

What will you do?

• Select, set up and review derivatives models for IR, FX, Inflation and Equity derivatives, in line with new regulations and best practices.
• Contribute to the credit, debit, collateral, funding and liquidity valuation adjustment (XVA) models.
• Compute and report fair value of derivatives and structured products for accounting purposes
• Monitor model outputs (valuations, XVAs, sensitivities, etc.) to propose and implement changes to the models and system built around third-party libraries.
• Report on valuation and produce opinions on the impact of new operations, including changes to the existing framework to accommodate new products.
• Act within the Model Risk Management framework, by liaising with different stakeholders, namely model users and validators.
• Document the current set up and any required or proposed changes, focusing on model and product description, choice of implementation and tests, to support the validation and releases of the derivatives system.
• Derive and document improvements to models and numerical methods, prototyping the changes for either Numerix CVA system or the in-house library
• Represent the unit and the bank in interactions with internal and external parties.
  
  

What is your profile?

• University degree, preferably in Computer Science, Engineering, Physics, Mathematics, Finance or another quantitative subject. Master’s or PhD would be an advantage.
• Minimum 5 years of experience in a derivatives modelling or validation role (IR and FX preferred).
• Programming experience in a structured language (C++, C#, Python, etc). C# preferred.
• Knowledge of third-party libraries and regulatory requirements for derivatives. Experience with Numerix would be an advantage.
• Experience reviewing models with proven record of accomplishment in model updates.
• Excellent knowledge of English and/or French (**) with a good command of the other. Knowledge of other EU languages would be an advantage.
  
  

Competencies

Find out more about EIB core competencies here

To find out more about our eligibility criteria click here

(**) Unless stated explicitly as a required qualification, a good command of French is not a pre-requisite for hire. As both English and French are however official working languages of the EIB, proficiency in both languages is a pre-requisite for your future career development. Any language clause in your contract must be fulfilled in order for you to be eligible for a promotion (either via the annual appraisal cycle or via an internal selection process). Proficiency is understood to mean the attainment of level 5 of the Inter Institutional language courses, corresponding to B1.2 of the Common European Framework of Reference for Languages (CEFRL). The Bank offers appropriate training support.

We hire and value talent with unique characteristics, creating a work environment where they can be themselves. We believe that Diversity, Equity and Inclusion makes us a performing and innovative organisation. We encourage all suitably qualified and eligible candidates to apply regardless of their gender identity/expression, age, racial, ethnic and cultural background, religion and beliefs, sexual orientation, disability or neurodiversity.

We strongly invite applicants with a disability, neurodivergent profile or chronic condition to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team Jobs@eib.org who will ensure that your request is handled.

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.

This is an open campaign to consecutively fill open positions. The campaign will remain open until position is filled. Applications will be reviewed in order of receipt.