Quantitative Manager - Luxembourg - European Investment Fund

European Investment Fund

Entreprise vérifiée

Luxembourg

il y a 1 semaine

Posté par:

Jean Schmitz

Recruteur de beBee

Description

EIF Posting:

The
European Investment Fund
(EIF) is seeking to recruit for its
Risk Management Department (RM) - Transaction & Portfolio Risk Division (TPR) at its headquarters
in Luxembourg, a
(Senior)
Quantitative Manager.

This is a full-time position at grade 5/6 for which the EIF offers a permanent contract.***This is a generic campaign in view of both current and future vacancies.

Panel interviews via video-conference are anticipated for June 2023

**_

Purpose:

_**You will be primarily dedicated to developing and maintaining the tools, methodologies and models that EIF uses to quantify and forecast risk on its portfolio, and those analysed for third parties, being predominantly securitisation and guarantee exposures on business lending portfolios and participations in private equity funds.

You will also contribute to the development and execution of the EIF Model Governance Framework. Areas of responsibility may evolve depending on business needs.

_ Operating Network:
_

You will report to the Head of the Portfolio Risk Management Unit (PRM), who in turn reports to the Head of the Transaction and Portfolio Risk Division (TPR).

You will work in close cooperation with other members of EIF Risk Management, and have contacts with colleagues in other EIF departments, the European Investment Bank and the European Commission.

_ Responsibilities:
_
At a level commensurate with your experience, you will have the following responsibilities:

Develop and enhance models and methodologies for assignment of internal ratings, capital allocation, cash flow projections and IFRS 9 accounting values, as applicable for EIF products;
Migrate existing tools to a production environment and contribute to their maintenance and performance monitoring;
Contribute to the EIF Model Governance Framework by:
Collaborating with EIB teams to ensure a consistent approach to model risk across the Group;
Developing, enhancing and performing backtesting procedures for EIF risk models;
Performing validation of models from other EIF units.

_Qualifications:
_

University degree in Maths, Physics, Statistics or other course with a very strong quantitative background, and with a strong exposure to quantitative methods;
At least five (5) years of postgraduation (after having obtained your initial university diploma) relevant professional experience including academic experience and/or experience gained during a PhD or equivalent qualification at the same level of responsibility in any, or a combination, of the following: (i) modelling and programming, (ii) model validation or (iii) consulting on quantitative techniques;
Excellent knowledge of Python and Object Orientated Programming;
Excellent knowledge of English, both oral and written, with good drafting skills;
Knowledge of standard computer tools, in particular Excel (including VBA).

Additional advantageous assets:

Knowledge of other programming languages (i.e. Javascript, C++) and related software tools (Git, Anaconda, VS Code);
Database and/or production environment deployment skills;
Additional academic qualifications (i.e. PhD) and/or professional qualifications (i.e. PRM, CFA);
Exposure to finance or direct experience of structured credit, securitisation, equity/debt funds, or model risk management;
Knowledge of other EU languages.

**_

Competencies:
_**- Strong analytical skills and problem solving attitude;

Very good communication skills, both verbal and written, and ability to summarize and present information to nonspecialists;
Stress resilience, ability to deliver good quality work under tight deadlines;
Good judgement;
Good project management skills;
Proactive approach and sense of initiative;
Good team spirit and ability to work in a multidiscipline and international team.