(Senior) Derivatives Valuation Officer

at  European Investment Bank

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), Group Financial Risk Department (GFIN) – Derivatives Division (DER) – Valuation Unit (VAU) at its headquarters in Luxembourg, a (Senior) Derivatives Valuation Officer*.

PURPOSE

Are you a derivatives quantitative analyst with a passion for problem solving and an impactful job? Are you driven by the purpose? We are the #EUClimatBank driven by making a difference: we all share a passion for helping shape a better future for the European Union and beyond.
As a Derivatives Valuation Officer, you will be part of a team responsible for risk managing a sizeable derivatives portfolio, focusing on derivatives valuation and XVAs. The team is a Model Owner and therefore is accountable for the analytics produced and model choices. This role is highly technical, requiring good knowledge of models and programming (C# for production software and prototyping in Python). You will choose and develop models for IR, FX, and inflation derivatives as well as XVAs, ensuring compliance with regulatory standards and best practices.
You will interact with various stakeholders, including model users and validators, to maintain and enhance the accuracy of our valuation systems. Your proactive critical reasoning skills and technical expertise will be crucial in driving the success of our team. Are you ready to contribute to a sustainable future and be at the heart of the European Union’s Climate Bank’s? We want to hear from you!

WHAT WILL YOU DO?

• Select, set up and review derivatives models for IR, FX, Inflation and Equity derivatives, in line with new regulations and best practices.
• Contribute to the credit, debit, collateral, funding and liquidity valuation adjustment (XVA) models.
• Compute and report fair value of derivatives and structured products for accounting purposes
• Monitor model outputs (valuations, XVAs, sensitivities, etc.) to propose and implement changes to the models and system built around third-party libraries.
• Report on valuation and produce opinions on the impact of new operations, including changes to the existing framework to accommodate new products.
• Act within the Model Risk Management framework, by liaising with different stakeholders, namely model users and validators.
• Document the current set up and any required or proposed changes, focusing on model and product description, choice of implementation and tests, to support the validation and releases of the derivatives system.
• Derive and document improvements to models and numerical methods, prototyping the changes for either Numerix CVA system or the in-house library
• Represent the unit and the bank in interactions with internal and external parties.