This position is based at our Luxembourg headquarters and requires regular office presence. The EIB offers you the opportunity to live and work in a truly international and multi-cultural environment. We also offer relocation support. The EIB, the European Union’s bank, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), EIB Group Model Validation Division (VAL), Derivatives and Model Risk Management Unit (DMRM) at its headquarters in Luxembourg, an (Associate) Model Validation Officer*.

ACCOUNTABILITIES

• Participate at the validation of various models built to assess and quantify a wide range of risks, in particular in the derivatives area.
• Execute validation programs that include:
• Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated.
• Tracking the resolution of findings with model owners and users.
• Employing technical expertise and analytic acumen to provide high quality deliverables in a fast-paced risk management environment.
• Examining conceptual soundness of models being validated. Reviewing and effectively challenging the underlying assumptions, theory, empirical evidence, limitations of the model being validated
• Writing model validation reports documenting the results of the model validation, including observations and findings, and recommending remedial action plans. Producing reports to track validation status and results for management and internal and external auditors
• Join the discussions with the model stakeholders, as well as with the external and internal audit in order to explain the validation findings and agree on the follow-up thereof.
• Work with all teams across the Group Risk & Compliance Directorate and support the senior modellers in the Division to develop and maintain an inventory of all models used.
• Contribute to the Bank’s efforts to maintain full compliance with regulations in the area of model validation.
• Participate in the Bank’s efforts to ensure ongoing compliance with its framework of best banking practice in the area of risk management.

QUALIFICATIONS

• University degree (minimum an equivalent to a Bachelor) preferably in Mathematics, Quantitative Finance and/or Statistics.
• At least 3 years of relevant professional experience, ideally with a focus on Derivatives modelling:
• Knowledge and in-depth experience in the areas of derivatives valuation and statistics (model development and/or validation), as well as in derivatives valuation packages, such as Numerix, Compatibl, quantlib etc.
• Knowledge of counterparty risk quantification, including potential future exposure and credit valuation adjustment calculations.
• Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation.
• Expertise in Python, C++.
• Experience in working with regulators, auditors, and compliance will be considered as a plus.
• Strong critical thinking skills to provide effective challenge to models developed internally and by vendors.
• Demonstrated ability to produce clear, concise written work products.
• Excellent knowledge of English and/or French (**) with a good command of the other. Knowledge of other EU languages would be an advantage.

PURPOSE

Are you a derivatives quantitative analyst with a passion for problem-solving and an impactful job? Are you driven by purpose? We are the #EUClimateBank, driven by making a difference: we all share a passion for helping shape a better future for the European Union and beyond.
As a Model Validation Officer, you will contribute to the test, review, and validation of the models used within the Group Risk & Compliance, Finance, and Chief Financial Controller Directorates. Your work will ensure the Bank remains at the forefront of market and regulatory developments in quantitative risk modelling. This role is highly technical, requiring good knowledge of models and programming (i.e. Python and C++).

Key Responsibilities:

• Contribute to the test, review, and validation of models.
• Ensure compliance with regulatory standards and best practices.
• Collaborate with various stakeholders, including model users and model owners, to maintain and enhance the accuracy and compliance of our models.

Are you ready to contribute to a sustainable future and be at the heart of the European Union’s Climate Bank? We want to hear from you!

The Model Validation Division’s role is to bring the development of valuation and risk analysis models into a structured process for independent review, testing, approval and documentation. The team is tasked to:

• identify and track all models within the EIB Group.
• Independently validate models and their implementations.
• Assess the model risks, the appropriateness for the purpose used, and the general approach for each model