(Associate) Risk Officer – Capital Requirements and Pricing
- Recruiter
- European Investment Bank (EIB)
- Location
- Luxembourg (LU)
- Salary
- 56000-83000 yearly
- Closing date
- 28 May 2021
View more
- Employer Sector
- Banking & Finance - Investment, Fund Management, Public Sector, Financial Services
- Contract Type
- Permanent, Contract
- Hours
- Full Time
- Job Type
- Risk Management, Risk
Job Details
The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Regulation and EIB Group Risk Department – Capital Management Division – Capital Requirements Unit, at its headquarters in Luxembourg, an (Associate) Risk Officer – Capital Requirements and Pricing (*). This is a full time position at grade 4/5.
Purpose
To contribute to the maintenance, development and implementation of EIB's capital requirements framework and risk pricing, in order to ensure that EIB credit portfolio modelling and risk measurement remain in line with best banking practices and that the risk borne by the Bank is correctly reflected in the risk pricing of its operations
Operating Network
Reporting to the Head of the Capital Requirements Unit, you will work in close collaboration with colleagues of the Capital Management Division, with regular contact within Risk Management and with other EIB Directorates and the European Investment Fund (EIF). You will also interact, on a case-by-case basis, with external counterparts, such as internal auditors, the Bank's Audit Committee, rating agencies, etc.
Accountabilities
- Contribute to the development and maintenance of the risk pricing model and ensure its appropriate implementation within the Bank’s internal application
- Contribute to the maintenance of the Bank’s (economic and regulatory) capital calculation engines, both from technical and methodological perspectives
- Assist in the production of the capital requirements figures (regulatory and economic capital) for the Bank and the Group, with a focus on credit risk capital requirements
- Contribute to the implementation of new products and investment programmes (risk sharing mandates) in the Bank’s credit risk capital calculations and pricing engine. Participate in the assessment of new business developments, new initiatives or new modelling best practices on the capital metrics of the EIB, concretely for risk pricing purposes
- Review, analyse and report on the evolution of the capital metrics to the management and Stakeholders
- Participate in horizontal tasks across the EIB Group related to capital requirements, in order to facilitate the execution of capital initiatives
- Contribute to address validation recommendations and internal audit findings in the context of credit risk pricing
- Contribute to the documentation of the Unit’s methodologies and procedures
- Contribute to the Bank's efforts to maintain compliance with applicable best banking practice in the area of capital requirements.
Qualifications
- University degree in a quantitative subject (e.g. Mathematics, Physics, Statistics), with relevant exposure to finance/risk management, or a degree in Finance or Economics with a quantitative background
- At least 3 years of relevant professional experience, ideally gained in (economic or regulatory) capital requirements calculations, credit risk modelling or in a similar role
- Familiarity with the main modern credit risk measurement methodologies and tools. Knowledge of the regulatory framework and recent developments (e.g. Basel III, EBA guidelines, BIS papers) would be an advantage
- Proficient knowledge of MS Excel, VBA, Python or other programming languages
- Solid IT background and ability to work with large data sets (database querying, SQL) Familiarity with Business Objects or SAS would be an advantage
- Excellent knowledge of English and/or French (*) and a good command of the other. Knowledge of other EU languages would be an advantage
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 unauthorized disclosure of any information or any damage to the EIB Group reputation.
Deadline for applications: 28th of May 2021. Panel interviews are anticipated for June 2021
The term of this contract will be 4 years.
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: (Associate) Credit Risk Management Officer
Interested?
Please apply via the 'Apply' button.
Company
The EIB is the European Union's bank. We are the only bank owned by and representing the interests of the European Union Member States. We work closely with other EU institutions to implement EU policy.
We are the world’s largest multilateral borrower and lender. We provide finance and expertise for sustainable investment projects that contribute to EU policy objectives. More than 90% of our activity is in Europe. But we also are a big investor around the world.
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