(Associate) Model Validation Officer - based in Luxembourg

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), EIB Group Model Validation Division (VAL), Derivatives and Model Risk Management Unit (DMRM) at its headquarters in Luxembourg, an (Associate) Model Validation Officer*.

This is a full-time position at grade 4/5 for which the EIB offers a permanent contract.

• internal benchmark (Associate) Officer Credit Risk Management
  
  

Panel interviews are foreseen as from February.

Purpose

Are you a derivatives quantitative analyst with a passion for problem-solving and an impactful job? Are you driven by purpose? We are the #EU_Climate_Bank, driven by making a difference: we all share a passion for helping shape a better future for the European Union and beyond.

As a Model Validation Officer, you will contribute to the test, review, and validation of the models used within the Group Risk & Compliance, Finance, and Chief Financial Controller Directorates. Your work will ensure the Bank remains at the forefront of market and regulatory developments in quantitative risk modelling. This role is highly technical, requiring good knowledge of models and programming (i.e. Python and C++).

Key Responsibilities

• Contribute to the test, review, and validation of models.
• Ensure compliance with regulatory standards and best practices.
• Collaborate with various stakeholders, including model users and model owners, to maintain and enhance the accuracy and compliance of our models.
  
  

Are you ready to contribute to a sustainable future and be at the heart of the European Union's Climate Bank? We want to hear from you!

Operating Network

Role

The Model Validation Division’s role is to bring the development of valuation and risk analysis models into a structured process for independent review, testing, approval and documentation. The team is tasked to:

• identify and track all models within the EIB Group.
• Independently validate models and their implementations.
• Assess the model risks, the appropriateness for the purpose used, and the general approach for each model.
  
  

You will report to the Head of the Derivatives & Model Risk Management Unit and work in close collaboration with a team of validation officers. You will interact regularly with other risk management officers, in particular those responsible for derivatives and counterparty credit risk valuation modelling and with colleagues across the bank. You will also have contacts with internal and external Audit Committees and regulatory bodies.

Accountabilities

• Participate at the validation of various models built to assess and quantify a wide range of risks, in particular in the derivatives area.
• Execute validation programs that include:
• Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated.
• Tracking the resolution of findings with model owners and users.
• Employing technical expertise and analytic acumen to provide high quality deliverables in a fast-paced risk management environment.
• Examining conceptual soundness of models being validated. Reviewing and effectively challenging the underlying assumptions, theory, empirical evidence, limitations of the model being validated
• Writing model validation reports documenting the results of the model validation, including observations and findings, and recommending remedial action plans. Producing reports to track validation status and results for management and internal and external auditors
• Join the discussions with the model stakeholders, as well as with the external and internal audit in order to explain the validation findings and agree on the follow-up thereof.
• Work with all teams across the Group Risk & Compliance Directorate and support the senior modellers in the Division to develop and maintain an inventory of all models used.
• Contribute to the Bank’s efforts to maintain full compliance with regulations in the area of model validation.
• Participate in the Bank’s efforts to ensure ongoing compliance with its framework of best banking practice in the area of risk management.
  

Qualifications

• University degree (minimum an equivalent to a Bachelor) preferably in Mathematics, Quantitative Finance and/or Statistics.
• At least 3 years of relevant professional experience, ideally with a focus on Derivatives modelling:
• Knowledge and in-depth experience in the areas of derivatives valuation and statistics (model development and/or validation), as well as in derivatives valuation packages, such as Numerix, Compatibl, quantlib etc.
• Knowledge of counterparty risk quantification, including potential future exposure and credit valuation adjustment calculations.
• Familiarity with counterparty credit risk mitigation, including ISDA/CSA documentation.
• Expertise in Python, C++.
• Experience in working with regulators, auditors, and compliance will be considered as a plus.
• Strong critical thinking skills to provide effective challenge to models developed internally and by vendors.
• Demonstrated ability to produce clear, concise written work products.
• Excellent knowledge of English and/or French (**) with a good command of the other. Knowledge of other EU languages would be an advantage.
  

Competencies

Find out more about EIB core competencies here

To find out more about our eligibility criteria click here

(**) Unless stated explicitly as a required qualification, a good command of French is not a pre-requisite for hire. As both English and French are however official working languages of the EIB, proficiency in both languages is a pre-requisite for your future career development. Any language clause in your contract must be fulfilled in order for you to be eligible for a promotion (either via the annual appraisal cycle or via an internal selection process). Proficiency is understood to mean the attainment of level 5 of the Inter Institutional language courses, corresponding to B1.2 of the Common European Framework of Reference for Languages (CEFRL). The Bank offers appropriate training support.

We hire and value talent with unique characteristics, creating a work environment where they can be themselves. We believe that Diversity, Equity and Inclusion makes us a performing and innovative organisation. 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, disability or neurodiversity.

We strongly invite applicants with a disability, neurodivergent profile or chronic condition to request reasonable accommodations at any stage during the recruitment process. Please contact the EIB Recruitment team [email protected] 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.

This is an open campaign to consecutively fill open positions. The campaign will remain open until position is filled. Applications will be reviewed in order of receipt.