CAIA's Career Center is an easy-to-use, comprehensive resource connecting job seekers with employers in the growing AI field. Use your knowledge and credibility to advance your career or build a talented team for your organization. Opportunities targeted to CAIA Charterholders are prioritized.
In order to search for jobs specifically for CAIA Charterholders or those pursuing the CAIA Charter please enter “CAIA” in the search panel.
This will enable you to search for CAIA specific roles globally.
The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate – Financial Risk Department – Derivatives Division – Valuation Unit - at its headquarters in Luxembourg, two Derivatives Quantitative Analysts (*). These are full time positions at grade 4/5.
The term of these contracts will be 4 years
Panel interviews are anticipated for November 2020
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.
As Derivatives Quantitative Analyst, you will review existing, and implement new, models and modelling approaches for the EIB's significant Derivatives portfolio. You will also implement, monitor and report on Derivatives valuation, risk measurement and risk reporting processes, in order to contribute to the effective implementation of risk management for Derivatives transactions in line with EIB financial risk policies.
Reporting to the Head of the Derivatives Valuations Unit, you will work in close collaboration with the Head of the Derivatives Division and a team of Quantitative Analysts in RM, as well as with colleagues in Financial Control and the Finance Directorate.
Review existing models and implement new modelling approaches
Contribute to derivatives models and algorithms for IR, FX, Inflation and Equity Derivatives, in line with new regulations and best practices
Implement, monitor and report on Derivatives valuations and valuation adjustments
Contribute to the development and maintenance of an in-house pricing library, for valuation and valuation adjustments
Contribute to the credit, debit and collateral valuation adjustment models (also used in counterparty credit risk and liquidity risk calculations)
Contribute to the fair valuation of Derivatives and structured products for accounting purposes
University degree, preferably in a Quantitative subject such as Engineering, Physics, Mathematics, Computer Science, or Finance. CQF or similar certificates will be an advantage
A minimum of 3 years of relevant experience in a Derivatives modelling/pricing related field (IR, FX and Inflation preferred)
Good programming background in a structured language (C, C++, C#, Python, etc.), with preference for object oriented programming languages
Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation would be a strong asset
Familiarity with BCBS regulations, EBA standards and best banking practice in the field would be an advantage
Excellent knowledge of English and/or French (*), with a good knowledge of the other
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 unauthorised disclosure of any information or any damage to the EIB Group reputation.