Quantitative profiles

If you have a highly quantitative academic background, strong programming skills, in languages such as C++, C#, Python, or Matlab, and the ability to interpret highly complex (and often copious amounts of) data, we have a variety of roles for you. You will both challenge and be challenged, keeping your brain active and your ideas fresh, as you make your contribution to ensure that the Bank has the ability to understand its financial position, predict the future, meet its obligations, and continue its business of improving lives

  • Management: overseeing activities in one of the domains below, you will keep the Bank at the forefront of best practice in your field and lead a team of highly technical specialists.
  • ALM/Treasury: strengthening the Bank’s liquidity buffer, containing mark to market volatility, covering transfer pricing, performing projections, simulations, stress tests, and analyses, or maintaining and improving the EIB’s lending rate curve (the “Blue Curve”)
  • Valuations: implementing, updating, validating and documenting interest rate, inflation, FX and equity-linked derivatives valuation models, as well as credit, debit and collateral valuation adjustment models
  • Counterparty credit risk: implementing and controlling models for expected and potential future credit exposure and regulatory exposure measures
  • Best Banking Practices implementation: developing complex reporting used for decision making by management, and working closely with IT counterparts to follow the development of new risk assessment methods
  • Pricing: validating LG and other pricing-related computations, including FVA and related reporting. Computing the loan exposures to be covered with financial collateral
  • Capital planning: developing and maintaining the Bank’s risk appetite, stress testing and capital planning frameworks. Leading and coordinating bank-wide stress test exercises
  • Capital requirements: following the development and maintenance of credit risk pricing models (at both individual loan grading and portfolio levels)
  • Model Development: developing and improving internal PD, LGD and EAD/CCF credit risk models, in accordance with internal standards and external best practice. Developing and implementing macro-economic stress testing and IFRS9 models. Challenging existing model assumptions, standards, framework and methods, and proposing changes
  • Model maintenance: conducting reviews of all Bank models used for capital calculations, pricing, macro-economic stress testing, economic capital and IFRS9
  • Model Validation: validating all models built to assess and quantify risks, as well as pricing, valuation, economic capital and stress-testing models. Also developing, documenting and maintaining a comprehensive set of validation methodologies
  • Financial Engineering and Advisory: setting and quoting interest rates for both standard and special transactions, developing new products, providing quantitative modelling and advice