Graduate - Capital Requirements and Pricing

The EIB, the European Union's bank, in the framework of its http://www.eib.org/about/jobs/working/graduate/index.htm GRAD programme, is seeking to recruit for its Group Risk & Compliance Directorate (GR&C), Regulation & EIB Group Risk Department (GREG), Capital Management Division (CM), Capital Requirements Unit (CRU) at its headquarters in Luxembourg, a Graduate - Capital Requirements and Pricing. This is a full time, temporary position.

Purpose

You will support the maintenance, development and implementation of EIB's capital requirements framework and risk pricing in order to ensure that the EIB's credit portfolio modelling and risk measurement remain in line with best banking practices and the risk borne by the Bank is correctly reflected in the risk pricing of its operations.

Operating Network

Reporting to the Head of the Capital Requirements Unit, you will work in close collaboration with colleagues of the Capital Management Division, with regular contacts within Risk Management and other Directorates (e.g. the front office lending/investing Directorate, the Finance Directorate, IT and colleagues at the European Investment Fund). You may interact, on a case-by-case basis, with internal auditors and the Bank's Audit Committee.

Accountabilities

• Support the development and maintenance of the unexpected loss and expected loss risk pricing model, as well as the IFRS9 expected credit loss computation and contribute to its appropriate implementation within the Bank's internal application
• Provide support in the review, enhancement and testing of pricing and risk measurement models in the Bank's internal application. Provide support to the model users on the model methodology
• Assist in the implementation of new products and investment programmes (risk sharing mandates) in the Bank's credit risk capital calculations and pricing engine. Participate in the assessment of new business developments, new initiatives or new modelling best practices on the capital metrics of the EIB, concretely for risk pricing purposes
• Review, analyse and report on the evolution of the capital metrics
• Perform risk pricing sensitivity analysis and prepare monitoring reports
• Support the senior team staff in addressing validation recommendations and internal audit findings in the context of credit risk pricing
• Draft/update the documentation of the Unit's methodologies and procedures
• Contribute to the Bank's efforts to maintain compliance with applicable best banking practice in the area of capital requirements.

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
• Up to 2 years' relevant professional experience, ideally gained in (economic or regulatory) capital requirements calculation, credit risk modelling (PD, LGD, ECL IFRS) or in a similar role within banking, finance or business administration sectors
• Familiarity with the main modern credit risk methodologies and tools will be an advantage
• Knowledge of the regulatory framework and recent developments (e.g. Basel III, EBA guidelines, BIS papers) would be an asset
• Proficient knowledge of MS Excel, R, Python, VBA or other programming languages
• Solid IT background and ability to work with large data sets (database querying, SQL). Familiarity with Business Objects or SAS would be an advantage
• Excellent knowledge of English or French, with a good knowledge of the other. Knowledge of other EU languages would be an advantage.

Competencies

Find out more about EIB core competencies https://www.eib.org/en/about/careers/careers-competencies/index.htm here

We are an equal opportunities employer, who believes that diversity is good for our people and our business. We encourage all suitably qualified and eligible candidates to apply regardless of their gender identity/expression, age, racial, ethnic and cultural background, religion and beliefs, sexual orientation/identity, disability or neurodiversity.

Applicants with specific needs are encouraged to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team Jobs@eib.org who will ensure that your request is handled.

By applying for this position, you acknowledge the importance of maintaining the security and integrity of the Information of the EIB Group. In case of selection for the position you agree to comply with all measures (policies, controls, document classification and management) implemented by the EIB Group to prevent unauthorised disclosure of any information or any damage to the EIB Group reputation.

Deadline for applications: 13th May 2022. Panel interviews are anticipated for June 2022.

The term of this contract will be until 15th December 2023; as this is a temporary assignment, no extension or conversion of the contract is foreseen.

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