(Associate) Model Validation Officer

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, including climate action, infrastructure development, and economic growth. The EIB operates in over 160 countries and employs approximately 3,500 staff members. Its mission is to support sustainable investment and foster economic development across Europe and beyond, making it a key player in the EU's efforts to address pressing global challenges.

Job Overview:
The position of (Associate) Model Validation Officer is situated within the Group Risk & Compliance Directorate at the EIB, specifically in the Model Validation Division. This role is pivotal for ensuring that the models used for risk assessment and compliance are rigorously tested and validated. The successful candidate will engage in a variety of tasks that include reviewing and validating quantitative models, ensuring compliance with regulatory standards, and collaborating with various stakeholders to enhance model accuracy. The EIB is committed to fostering a diverse and inclusive work environment, and this role is integral to the bank's mission of contributing to a sustainable future. The position requires a strong technical background in quantitative analysis, particularly in derivatives, and proficiency in programming languages such as Python and C++.

Duties and Responsibilities:
The Model Validation Officer will be responsible for a comprehensive set of duties, including but not limited to:

• Conducting thorough tests, reviews, and validations of quantitative models used within the EIB.
• Ensuring that all models comply with regulatory standards and best practices.
• Collaborating with model users and owners to maintain and enhance model accuracy.
• Participating in the validation of models that assess and quantify various risks, particularly in the derivatives area.
• Executing validation programs that involve independent testing of model inputs, assumptions, methodologies, and performance.
• Tracking the resolution of findings with model owners and users.
• Writing detailed model validation reports that document results, observations, and recommendations for remedial actions.
• Engaging in discussions with stakeholders, including internal and external audit teams, to explain validation findings and agree on follow-up actions.
• Supporting the senior modellers in maintaining an inventory of all models used within the organization. 1
• Contributing to the EIB's compliance with regulations in model validation and risk management best practices.

Required Qualifications:
Candidates must possess a university degree, preferably in Mathematics, Quantitative Finance, or Statistics, with a minimum of three years of relevant professional experience. Ideal candidates will have a strong focus on derivatives modeling, with in-depth knowledge and experience in derivatives valuation and statistics. Familiarity with derivatives valuation packages such as Numerix, Compatibl, and Quantlib is essential. Additionally, candidates should have knowledge of counterparty risk quantification and credit valuation adjustment calculations. Experience working with regulators and auditors will be considered an asset. Strong critical thinking skills and the ability to produce clear, concise written documentation are also required.

Educational Background:
The educational background required for this position includes a university degree equivalent to a Bachelor's degree in a relevant field such as Mathematics, Quantitative Finance, or Statistics. This foundational knowledge is crucial for understanding the complexities of model validation and risk assessment in a financial context.

Experience:
The position requires at least three years of relevant professional experience, ideally with a focus on derivatives modeling. Candidates should have a proven track record in model development and validation, particularly in the context of quantitative finance and risk management. Experience in working with regulatory bodies and auditors is also beneficial, as it demonstrates the candidate's familiarity with compliance standards and practices.

Languages:
Proficiency in English is mandatory, and a good command of French is also required, as both languages are official working languages of the EIB. Knowledge of additional EU languages would be advantageous, enhancing the candidate's ability to communicate effectively in a diverse work environment. Proficiency is understood to mean the attainment of 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 4/5, and the EIB offers a permanent contract. The role requires regular office presence at the EIB headquarters in Luxembourg. The recruitment process includes panel interviews, which are scheduled to begin in February. The EIB is committed to diversity and inclusion, encouraging all qualified candidates to apply regardless of their background. The bank also provides relocation support for successful candidates moving to Luxembourg.