Part Time Derivatives Analyst recruitment

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 :

Part Time Derivatives Analyst

Appointment to the post will be made on the basis of a one year fixed term contract, working 50% part time

The successful candidate will report to a Head of Unit and work in close collaboration with the Head of Division and a team of Risk Management Officers. His/her overall remit will be to contribute to the effective implementation of counterparty risk management for derivatives 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, and 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.

Accountabilities

• Implement, update, validate and document interest rate, inflation, FX and equity-linked 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

• Communicate with other services of the Bank (front and back office, legal, IT, internal audit) and with external 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

• Very good knowledge and extensive experience in the areas of derivatives valuation and statistics, as well as in derivatives valuations packages, preferably Numerix

• Expertise in programming languages, especially Visual Basic and SQL, command of C++ and C# will be an advantage

• Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation

• Familiarity with Basel Committee on Banking Supervision (BCBS) regulations and best banking practice in the field

• Very good knowledge of English and/or French and good command 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: 27 February 2012

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