(Senior) Risk Management Officer - Capital Requirements and Pricing

  • Competitive
  • Luxembourg
  • Contract, Full time
  • European Investment Bank
  • 17 Aug 17

The EIB, the European Union's bank, is seeking to recruit for its Risk Management Directorate (RM) – Regulations and EIB Group Risk Department (REG) – Capital and Reporting Division (C&R) – Capital Requirements Unit (CRU), at its headquarters in Luxembourg, a:

(Senior) Risk Management Officer - Capital Requirements and Pricing

This is a full-time position in grade 5/6

The term of this contract will be 4 years

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.

Purpose

The Risk Management Officer – Capital Requirements and Pricing contributes to the maintenance, development and implementation of EIB's regulatory and economic capital frameworks, with a focus on credit risk measurement, analysis and reporting (capital adequacy metrics, capital adequacy projections, implementation of changes in the regulatory framework, stress testing, simulations, compliance with best practice in risk management, etc.). Contribute to the maintenance and enhancement of EIB’s risk pricing methodology.

Operating Network

S/he will report to the Head of the Capital Requirements Unit and will work in close collaboration with colleagues of the Capital and Reporting Division, with regular contacts within Risk Management and other Directorates (e.g. Ops, FI, IT, SG, EIF). S/he will interact on a case-by-case basis with internal auditors, the Bank's Audit Committee, regulatory bodies, rating agencies, etc.

Accountabilities

  • Act as a point of contact for internal services with respect to queries related to Pillar 1 and 2 capital requirements
  • Assess the anticipated impact of regulatory or new business developments, new initiatives or new modelling best practices on the capital metrics of the EIB
  • Contribute to the production of the Bank's capital requirements figures (regulatory and economic capital)
  • Review, analyse and report on the evolution of the capital metrics to the management and stakeholders
  • Contribute to the capital adequacy assessment and planning processes, risk appetite setting, limits definition, etc.
  • Contribute to capital requirements simulations, stress tests and analyses
  • Ensure methodological and data consistency between various capital measurement tools (regulatory capital, economic capital, risk pricing models). Contribute to the development of a holistic risk view.
  • Ensure that adequate documentation of relevant methodologies and processes is put in place
  • Contribute to the Bank's efforts to maintain compliance with applicable best banking practice in the area of capital requirements
  • Provide input to ad-hoc analyses and written communications on specific capital requirements matters to senior management or external bodies
  • Contribute to the development and maintenance of risk pricing methodologies

Qualifications

  • University degree in a quantitative subject (e.g. Mathematics, Physics, Statistics), with relevant exposure to finance or risk management, or a degree in Finance or Economics with a quantitative background. Post-graduate studies in one of these subjects or other relevant professional qualifications would be an advantage.
  • Minimum 5 years' relevant professional experience, ideally gained in capital requirements calculation, credit risk modelling or similar role.
  • Knowledge of the regulatory framework and recent developments (e.g. Basel III, EBA guidelines, BIS papers). Knowledge of rating agency scoring models would be an advantage.
  • Familiarity with the main modern risk measurement methodologies and tools. Sound knowledge of credit portfolio tools would be considered an advantage.
  • Solid IT background and ability to work with large data sets (database querying, SQL).
  • Proficient knowledge of MS Excel, VBA. Familiarity with Business Objects would be an advantage
  • Excellent knowledge of English and/or French(*), with a good command of the other. Knowledge of other European Union languages would be an advantage.

Competencies

  • 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

For more information and to apply, please visit https://erecruitment.eib.org selecting Job ID 104438

Deadline for applications: 14th September 2017

On-site interviews are expected to be scheduled in the week of 23rd October 2017

We believe that Diversity is good for our people and our business. We promote and value diversity and inclusion among our staff and candidates; irrespective of their gender, age, nationality, race, culture, education and experience, religious beliefs, sexual orientation or disability