Derivatives Analyst recruitment

The EIB, the European Union’s bank, is seeking to recruit for its Risk Management Directorate (RM) - Financial and Operational Risk Department (FRD) - Derivatives Division (DER) - Valuation Unit (VAL) at its headquarters in Luxembourg, a :


                                                                     Derivatives Analyst

                             in support of the Bank’s implementation of the NER 300 initiative

                         The appointment will be made on the basis of a 2 year fixed term contract

The European Investment Bank supports the European Commission as an agent in the implementation of the NER 300 initiative - the world’s largest funding programme for carbon capture and storage demonstration projects and innovative renewable energy technologies. More details about EIB role in the initiative can be found at http://www.eib.org/about/news/ner-300.htm

For the NER 300 project, the Bank seeks candidates to implement, update, validate and document derivatives valuation models and counterparty risk models; to compute and report fair values of swaps; to perform controls of valuation, collateralisation and risk calculations; to compute collateral requirements and report on risk limit utilisation.

Accountabilities

Reporting to a Head of Unit and working in close collaboration with the Head of Division and a team of Risk Management Officers, s/he will:

• Implement, update, validate and document derivatives valuation models
• Implement, update, validate and document counterparty risk models for potential future exposure
• Compute collateral requirements and report on risk limit utilisation
• Perform controls of valuation, collateralisation and risk calculations, solve collateral disputes
• Handle processes and events according to ISDA/CSA documentation
• Update and implement counterparty risk management policies and procedures in view of Basel III and other new regulations and best practices
• Compute and report fair value of derivatives for accounting purposes

Qualifications

• University degree, preferably in mathematics, quantitative finance and/or statistics
• At least 3 years professional experience acquired with a major derivatives user, with extensive implication in derivatives control
• Experience in emissions derivatives would be an advantage
• Sound knowledge in the areas of derivatives valuation and statistics, as well as in derivatives valuation packages, preferably Numerix
• Expertise in programming languages, preferably Visual Basic
• Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation
• Knowledge of counterparty risk quantification, including potential future exposure and credit valuation adjustments calculation
• Very good knowledge of English or French and good knowledge of the other. Knowledge of other EU languages would be an advantage

Competencies

• High level analytical capabilities
• Ability to work in a team
• Strong interpersonal skills
• Strong verbal and written communication skills
• Ability to organise, prioritise and work under tight deadlines

Deadline for applications: 07th December 2011

For more details and to apply, please go to https://erecruitment.eib.org selecting Job ID 3974

We believe that Diversity is good for our people and our business. We promote and value diversity and inclusion among our staff and candidates; irrespective of their gender, age, nationality, race, culture, education and experience, religious beliefs, sexual orientation or disability.