(Senior) Quantitative Analyst – European Investment Bank (EIB)

eib-logoThe (Senior) Quantitative Analyst will contribute actively to the improvement of the Bank’s portfolio pricing methodology in Operations Directorate, in particular in relation to EFSI. S/he will contribute to the development and set-up of new portfolio models as well as maintenance of existing ones, in cooperation with other departments in the Bank, including IT and Risk Management. S/he will also take active part in structuring new products and contributing to front-line discussions with other internal and external stakeholders of the model.

Operating network

The (Senior) Quantitative Analyst reports to the Head of Division and cooperates closely with quantitative analysts and business support officers in the Division and the Operations Support Department (OSD). S/he will interface regularly with the management and officers of the Bank’s lending Directorate as well as of other Directorates.


In close cooperation and under supervision of senior colleagues:

  • Maintain, calibrate and further improve existing portfolio models, including the development of appropriate documentation for model methodology and design
  • Develop new and more efficient portfolio models, tailored to front-line product development needs
  • Participate in the product design phase, contributing quantitative and structuring advice to front-line officers
  • Develop pricing models/methodology for new lending products and overview on methodologies devoted to Unexpected Loss Risk Pricing
  • Represent the Operations Directorate in internal discussions with other Directorates, in particular the EIB Risk Management.


  • University degree in Maths, Physics, Statistics, with a strong exposure to quantitative methods and exposure to finance, or a degree in finance or economics with very strong quantitative background
  • Postgraduate studies in a quantitative field (MSc, PhD) would be considered an advantage
  • Minimum 5 years of relevant professional front line experience, in the area of portfolio structured credit derivatives / CDO modelling. Strong knowledge of portfolio modelling techniques (e.g. copula functions) and a proven track record in their implementation is required
  • Understanding of economic and regulatory capital pricing models
  • Expert knowledge of Excel, VBA and Matlab is required. C++/Java would be an advantage
  • Good knowledge of English. Knowledge of French and other EU languages would be advantageous


  • Very strong quantitative analytical capability and problem solving skills
  • Meticulous on detail
  • Very good written and oral communication skills with the ability to draft simply and clearly, capacity to liaise effectively with non-technical stakeholders
  • Ability to work results oriented
  • Ability  to work both independently and within a team
  • Well-developed interpersonal skills and ease of contact

Location: Luxembourg

Deadline for applications: 14th September 2015

Read more and apply here.

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