Financial Risk Management Officer – Derivatives Counterparty Credit

Job Posting Organization:
The European Investment Bank (EIB) is the bank of the European Union, established in 195

• It plays a crucial role in financing projects that contribute to the EU's policy objectives. The EIB operates in over 160 countries and employs around 3,500 staff members. The bank's mission is to support sustainable investment that fosters economic growth and job creation across Europe and beyond. The EIB is committed to promoting environmental sustainability, social inclusion, and economic development through its financing activities.

Job Overview:
The Financial Risk Management Officer position focuses on providing independent oversight and reporting of counterparty credit risk associated with derivative transactions. The role requires ensuring robust risk measurement and transparent reporting, while effectively implementing risk management practices that align with the EIB's financial risk policies. The officer will work within the Derivatives Counterparty Credit Risk Unit, which is responsible for managing credit risk related to derivatives transactions. This includes setting risk limits, monitoring compliance, and contributing to exposure reduction strategies. The position demands collaboration with various stakeholders, including senior management and quantitative analysts, to enhance the bank's counterparty credit risk framework and ensure compliance with regulatory standards.

Duties and Responsibilities:

• Define and enhance the counterparty credit risk framework for derivatives, ensuring methodological soundness and compliance with regulations.
• Provide strategic direction over XVA methodologies, overseeing model design and performance.
• Own the counterparty credit risk limits framework, including calibration and oversight of limit utilization.
• Deliver high-level risk analysis and reporting to senior management on counterparty exposures and risk implications.
• Oversee model performance monitoring and control frameworks for internal risk models.
• Shape and enhance derivatives risk management policies and procedures, incorporating regulatory developments.
• Provide independent risk assessments of complex transactions and advise decision-makers.
• Act as a senior stakeholder across functions to ensure effective governance and internal controls in derivatives risk management.

Required Qualifications:

• University degree (minimum equivalent to a Bachelor) in Mathematics, Engineering, Physics, Computer Science, Finance, or Economics with a focus on quantitative finance.
• Post-graduate studies and certifications from PRMIA or GARP are advantageous.
• At least 5 years of professional experience in derivatives counterparty credit risk management with a major derivatives dealer or user.
• Strong knowledge of counterparty risk quantification and capital charges calculations.
• Proficient programming skills in structured languages such as C, C++, C#, or Python, with a preference for object-oriented programming.
• Good understanding of BCBS regulations and best banking practices.
• Familiarity with derivatives pricing models and liquidity aspects.
• Knowledge of XVA adjustments is a plus.

Educational Background:
Candidates must possess a university degree, ideally in a quantitative field such as Mathematics, Engineering, Physics, Computer Science, Finance, or Economics. A focus on quantitative finance, particularly Stochastic Calculus, is essential. Post-graduate studies and relevant certifications from recognized institutions such as PRMIA or GARP will be considered advantageous.

Experience:
The position requires a minimum of 5 years of professional experience in the field of derivatives counterparty credit risk management. This experience should be gained from working with a major derivatives dealer or user, where the candidate has been extensively involved in managing counterparty credit risk.

Languages:
Proficiency in English is essential, and a good command of French is also required. Knowledge of additional EU languages would be considered an asset. Proficiency is defined as reaching level 5 of the Inter Institutional language courses, corresponding to B1.2 of the Common European Framework of Reference for Languages (CEFRL).

Additional Notes:
This is a full-time position at grade 5, offering a permanent contract. The EIB provides relocation support for successful candidates. The recruitment process includes panel interviews, which are anticipated to commence in August 202

• The EIB values diversity and encourages applications from all qualified candidates, regardless of their background. The bank is committed to maintaining a secure and inclusive work environment, and candidates may request reasonable accommodations during the recruitment process.