Financial Risk Management Officer - Derivatives Counterparty Credit - based in Luxembourg

## Financial Risk Management Officer - Derivatives Counterparty Credit - based in Luxembourg - Organization:European Investment Bank - Office:EIB Group HQ Luxembourg European Investment Bank 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. TheEIB, the European Union's bank , is seeking to recruit for its Directorate,Group Risk & Compliance Directorate (GR&C) , Group Financial Risk Department (GFIN), Derivatives Division (DER), Counterparty Credit Risk Unit (RKU), at its headquarters in Luxembourg, aFinancial Risk Management Officer - Derivatives Counterparty Credit*. This is a full-time position at grade 5 for which the EIB offers a permanent contract. Panel interviews are foreseen as from August 2026. You will provide independent, high-quality oversight and reporting of counterparty credit risk related to derivative transactions, ensuring robust risk measurement, transparent risk reporting, and the effective implementation of risk management practices in full alignment with the EIB's financial risk policies. The Derivatives Counterparty Credit Risk Unit is in charge of managing the credit risk of derivatives transactions. Its tasks involve: - setting minimum conditions and risk limits for derivatives counterparties, setting minimum conditions and risk limits for derivatives counterparties, - specifying and monitoring counterparty risk measurement calculations, specifying and monitoring counterparty risk measurement calculations, - reporting and monitoring compliance with limits of counterparty credit risk exposures, reporting and monitoring compliance with limits of counterparty credit risk exposures, - contributing to exposure reduction in case of limit breaches or low limit availability, contributing to exposure reduction in case of limit breaches or low limit availability, - monitoring collateral management activities, monitoring collateral management activities, - negotiating the ISDA/CSA agreements in collaboration with Front Office, negotiating the ISDA/CSA agreements in collaboration with Front Office, - computing liquidity and funding stress scenarios and internal risk charges, computing liquidity and funding stress scenarios and internal risk charges, - performing credit risk stress tests related to derivatives. performing credit risk stress tests related to derivatives. You will report to the Head of the Counterparty Credit Risk Unit, and work in close collaboration with the Head of the Derivatives Division and a team of Quantitative Analysts. - Define and continuously enhance the Bank's counterparty credit risk framework for derivatives, including Expected Exposure (EE), Potential Future Exposure (PFE) and regulatory exposure metrics, ensuring methodological soundness and regulatory compliance. Define and continuously enhance the Bank's counterparty credit risk framework for derivatives, including Expected Exposure (EE), Potential Future Exposure (PFE) and regulatory exposure metrics, ensuring methodological soundness and regulatory compliance. - Provide strategic direction and governance over XVA methodologies (credit, funding, liquidity, collateral and capital valuation adjustments), overseeing model design, performance, limitations and alignment with the Bank's risk appetite and capital framework. Provide strategic direction and governance over XVA methodologies (credit, funding, liquidity, collateral and capital valuation adjustments), overseeing model design, performance, limitations and alignment with the Bank's risk appetite and capital framework. - Own the counterparty credit risk limits framework, including limit calibration, utilisation oversight, stress considerations and escalation processes, Own the counterparty credit risk limits framework, including limit calibration, utilisation oversight, stress considerations and escalation processes, - Deliver high-level risk analysis and authoritative reporting to senior management and risk committees on counterparty exposures, limit consumption, counterparty capacity and risk implications of new transactions. Deliver high-level risk analysis and authoritative reporting to senior management and risk committees on counterparty exposures, limit consumption, counterparty capacity and risk implications of new transactions. - Oversee model performance monitoring, back-testing and control frameworks for internal counterparty credit risk models, driving remediation strategies and ensuring robust model risk governance. Oversee model performance monitoring, back-testing and control frameworks for internal counterparty credit risk models, driving remediation strategies and ensuring robust model risk governance. - Shape and continuously enhance derivatives risk management policies, methodologies and procedures, proactively incorporating regulatory developments, supervisory expectations and evolving market best practices. Shape and continuously enhance derivatives risk management policies, methodologies and procedures, proactively incorporating regulatory developments, supervisory expectations and evolving market best practices. - Provide independent risk assessment of complex transactions, novations and ISDA/CSA documentation changes, evaluating impacts on fair value, XVAs, internal charges and Potential Future Exposure, and advising decision-makers accordingly. Provide independent risk assessment of complex transactions, novations and ISDA/CSA documentation changes, evaluating impacts on fair value, XVAs, internal charges and Potential Future Exposure, and advising decision-makers accordingly. Act as a senior stakeholder across functions (Risk, Front Office, IT, Model Validation, Internal Audit and Legal), ensuring strong governance, effective internal controls and strategic alignment in derivatives risk management. - University degree (minimum an equivalent to a Bachelor) preferably in Mathematics, Engineering, Physics, Computer Science, Finance or Economics with quantitative finance (Stochastic Calculus) as the major topic. Post-graduate studies and PRMIA or GARP certificates will be an advantage. University degree (minimum an equivalent to a Bachelor) preferably in Mathematics, Engineering, Physics, Computer Science, Finance or Economics with quantitative finance (Stochastic Calculus) as the major topic. Post-graduate studies and PRMIA or GARP certificates will be an advantage. - At least 5 years professional experience acquired with a major derivatives dealer or user, with extensive implication in derivatives counterparty credit risk management. At least 5 years professional experience acquired with a major derivatives dealer or user, with extensive implication in derivatives counterparty credit risk management. - Very good knowledge of counterparty risk quantification, including Potential Future Exposure and capital charges calculations. Very good knowledge of counterparty risk quantification, including Potential Future Exposure and capital charges calculations. - Very good programming background in a structured language (C, C++, C#, Python, etc.), with preference for object-oriented programming languages. Very good programming background in a structured language (C, C++, C#, Python, etc.), with preference for object-oriented programming languages. - Good knowledge of BCBS regulations, EBA standards and best banking practice in the field. Good knowledge of BCBS regulations, EBA standards and best banking practice in the field. - Understanding of derivatives pricing models, counterparty risk quantification and derivatives liquidity and funding aspects. Understanding of derivatives pricing models, counterparty risk quantification and derivatives liquidity and funding aspects. - Knowledge of XVA adjustments (CVA, DVA, CollVA, FVA, KVA, AVA) would be an asset Knowledge of XVA adjustments (CVA, DVA, C