Derivatives Risk Analyst
The EIB, the European Union’s bank, is seeking to recruit for its Risk Management Directorate (RM), Financial Risk Department (FRD), Derivatives Division (DER), Valuation Unit (VAL) at its headquarters in Luxembourg, a:
Derivatives Risk Analyst
Appointment will be made on the basis of a fixed term contract of 4 years
Purpose
To contribute to the effective implementation of counterparty risk management for derivative transactions in line with EIB credit risk policies by: (a) implementing and performing derivatives valuations (b) monitoring collateral management activities (c) implementing and monitoring counterparty risk measurement calculations (d) advising and reporting to other EIB Services on matters relating to derivatives negotiations, booking, market data needs, counterparty credit exposure and ISDA collateral agreements
Operating Network
Reporting to the Head of Unit, s/he will work in close collaboration with the Head of Division and a team of Risk Management officers.
Accountabilities
S/he will be responsible for:
• Proposing and implementing changes in counterparty risk management policies and procedures, in view of Basel III and other new regulations and best practices
• Implementing, documenting and maintaining:
o Valuation models for interest rate, inflation, FX and equity-linked derivatives
o Potential future exposure models
o Credit valuation adjustment models
• Computing collateral requirements and reporting on risk limit utilisation
• Performing controls of valuation, collateralisation and risk calculations
• Handling processes and events according to ISDA/CSA documentation
• Communicating with other services of the Bank (front and back office, legal services, IT services, internal audit), counterparties and auditors
Qualifications
• University degree, preferably in Mathematics, Quantitative Finance and/or Statistics. Post-graduate studies in these subjects and PRMIA or GARP certificates will be an advantage
• At least 3 years professional experience acquired with a major derivatives user, with extensive implication in derivatives control, including:
o Very good knowledge and extensive experience in the areas of derivatives valuation, as well as in derivatives valuation packages, preferably Numerix
o Very good knowledge of counterparty risk quantification, including potential future exposure and credit valuation adjustment calculations
• Expertise in programming languages: VBA, SQL and C#
• Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation
• Familiarity with BCBS regulations and best banking practice in the field
• Very good knowledge of English and/or French and good knowledge of the other (*). Knowledge of other EU languages would be an advantage
Competencies
• High level of 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
(*) 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
For more details and to apply, please go to https://erecruitment.eib.org selecting Job ID 100586
Deadline for applications: 15th June 2013
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