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

European Investment Bank (EIB)

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 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, a Financial 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.

Purpose

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.

Operating Network

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,
specifying and monitoring counterparty risk measurement calculations,
reporting and monitoring compliance with limits of counterparty credit risk exposures,
contributing to exposure reduction in case of limit breaches or low limit availability,
monitoring collateral management activities,
negotiating the ISDA/CSA agreements in collaboration with Front Office,
computing liquidity and funding stress scenarios and internal risk charges,
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.

Accountabilities

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.

Qualifications

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. (Knowledge of other EU languages would be an advantage).

Competencies

Find Out More About EIB Core Behavioural Skills 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.

If you require reasonable accommodation during the recruitment process due to a disability, neurodivergence, or a chronic health condition, please contact the EIB Recruitment team [email protected] who will manage your request appropriately.

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.