As (Associate) Derivatives Quantitative Analyst, you will contribute to management of risk on derivatives transactions in line with EIB financial risk policies by contributing to (a) the implementation, monitoring and reporting of derivatives valuations and valuation adjustments; (b) the development of internal pricing tools and systems; (c) the review of existing models and implementation of new modelling approaches.
Operating Network:
Reporting to the Head of the Derivatives Valuations Unit, you will work in close collaboration with the Head of Derivatives Division and a team of Quantitative Analysts.
Accountabilities:
Contribute to set up and review of derivatives models and algorithms for IR, FX, Inflation and Equity derivatives, in line with new regulations and best practices
Contribute to credit, debit and collateral valuation adjustment models (also used in counterparty credit risk and liquidity risk calculations)
Contribute to the fair valuation of derivatives and structured products for accounting purposes
Work closely with senior colleagues in the team to review third party libraries and to propose improvements according to regulatory requirements for derivatives
Qualifications:
University degree, preferably in Computer Science, Engineering, Physics, Mathematics, Finance or another quantitative subject. CQF or similar certificates will be an advantage
Good programming background in a structured language (C, C++, C#, Python, etc)
Experience in a modelling / pricing related field (IR and FX preferred)
Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation is a strong asset but not required
Ability to work with third party libraries to model derivatives for pricing and risk assessment
Familiarity with BCBS regulations, EBA standards and best banking practice in the field
Excellent knowledge of English and/or French with a good command of the other.
