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Derivatives Quantitative Analyst

2019-08-14 European Investment Bank | Luxembourg | HBO | Fulltime | Sluit 2019-10-13


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, a Derivatives Quantitative Analyst. This is a full time position at grade 4/5.

The term of this contract will be 4 years

Panel interviews are anticipated for the 2nd half of October 2019.

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.

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.

Operating Network
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

  • Achievement Drive: Continually keeps an eye on performance, focusing on improving it, showing drive and determination to meet short and long-term goals.
  • Change Orientation: Adapts to differences and changes in the environment; takes a flexible approach to reach outcomes.
  • Collaboration: Works cooperatively as part of a team; works collaboratively with peers across organisational boundaries based on a genuine interest in and an accurate understanding of others and their individual perspectives and concerns.
  • Organisational Commitment: Is willing to commit to an organisation whose mission is to support Europe and is open to diversity, and to align her/his own behaviour with the organisation’s needs and intrinsic values, acting with integrity in ways that promote the organisation’s mission, policies and rules.

(*) 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 (*).

Deadline for applications: 15th September 2019

Please apply via the "Apply" button.

(*). We particularly welcome applications from women and persons with disabilities.

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