Financial Risk Management Officer – Derivatives Counterparty Credit

The Financial Risk Management Officer will provide independent, high-quality oversight and reporting of counterparty credit risk related to derivative transactions, ensuring robust risk measurement, transparent risk reporting, and effective implementation of risk management practices aligned with EIB’s financial risk policies.

Responsibilities

• 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.
• 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.
• 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.
• 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.

Requirements

• 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.
• 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.
• 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.
• Knowledge of XVA adjustments (CVA, DVA, CollVA, FVA, KVA, AVA) would be an asset.
• Excellent knowledge of English and/or French with a good command of the other.
• Proficiency in both English and French is a pre-requisite for career development, with level 5 of the Inter Institutional language courses (B1.2 CEFRL) required.

Skills

• Counterparty Credit Risk Management
• Derivatives Risk Quantification
• Potential Future Exposure Calculation
• Capital Charges Calculation
• Derivatives Pricing Models
• XVA Adjustments
• BCBS Regulations Knowledge
• EBA Standards Knowledge
• Derivatives Liquidity Management
• Derivatives Funding Management
• Structured Programming
• Object-Oriented Programming
• C programming
• C/C++ Programming
• C# Programming
• Python Programming
• Risk Management Reporting
• Risk Measurement Development
• PRMIA Certification
• GARP Certification

Languages

English, French