About This Role
This role involves strengthening the Bank's oversight of loan pricing and market risk by developing and maintaining robust risk policies and frameworks. The officer will support the timely identification, assessment, and monitoring of financial risk exposures to ensure sound, consistent, and well-controlled pricing and market risk activities.
Responsibilities
- Contribute to the implementation of the 2nd Line of Defense oversight framework for loan pricing (specific to financial risk pricing components such as the Blue Curve, Prepayment Option Spread (POS), Liquidity Risk Premium (LRP), Internal Derivative Pricing (IDP), and commitment fees) and market risk (Interest Rates, FX, and Pension risks)
- Prepare risk assessments related to the Bank's Interest Rate Strategy, under guidance from senior team members
- Support the validation of financial risk metrics for the EIB(G)/EIF portfolios by comparing calculations with reports produced by FI and/or CFC
- Contribute to ongoing initiatives within the Division by helping research, document, and test new ideas
- Test new product representations within financial risk systems
- Review and update the ALM and Financial Risk policies by helping gather information on market practices and regulatory developments
- Follow and help ensure compliance with approved procedures and internal policies in daily activities
- Participate in mandate-related risk assessments by supporting analysis, preparing documentation, and assisting in the monitoring of underlying financial risks
Requirements
- University degree (minimum an equivalent to a Bachelor) preferably in Economics, Finance, Mathematics, or another quantitative subject. Post-graduate studies in these areas would be an advantage
- At least 5 years of relevant professional experience in Finance, ideally ALM, Risk Management, Capital Markets, or Treasury functions
- Proven expertise in quantitative and financial modelling, including loan pricing, BPV, and duration calculation
- Strong knowledge of ALM and market risk management techniques
- Demonstrated experience in implementing models and methodologies supporting the monitoring and management of market risks in banking books
- Good communication and interpersonal skills
- Programming knowledge (e.g., C# or Python) would be an advantage
- Experience with IT systems such as WSS (FK), Business Objects, and CompatibL is a plus
- Thorough understanding of financial markets and relevant regulations, including money markets, capital markets, and derivatives
- Excellent knowledge of English and/or French, with a good command of the other. (Knowledge of other EU languages would be an advantage)
Important Details
