Junior Quantitative Analyst Capital Risk Management

Allocation: Risk & Control / Financial Risk / Market Risk and Capital Management Unit

Term of contract: 4-year (including one-year probation)

Group of grade: III

Grade: A1

Closing date: 4/23/2023

Description

The Council of Europe Development Bank (CEB), established in 1956, is a multilateral development bank with a unique social mandate. The CEB works to strengthen social cohesion and build thriving communities in Europe by financing projects that promote inclusive growth, support vulnerable groups and bolster environmental sustainability.

The Risk & Control Directorate (R&C) promotes a strong risk and control culture across the CEB to protect the Bank's lending and financing activities. R&C identifies, evaluates, monitors and reports all risks by implementing risk mitigation and internal control measures thereby safeguarding the CEB’s financial stability and guaranteeing its business continuity. R&C also preserves the CEB’s creditworthiness and pristine external rating assessment to strengthen stakeholders trust by efficiently monitoring budgets and ensuring accounting services are aligned with best practices. The Directorate also ensures financial reporting transparency and effective controls by the CEB’s governance and control bodies such as the external auditors and the Auditing Board.

The Risk & Control Directorate is looking for a Junior Quantitative Analyst, who will participate in the team's missions related to the valuation of financial instruments, the evaluation of market and liquidity risks, and the assessment of capital adequacy. The successful candidate will demonstrate strong knowledge, expertise, and capacity in designing and developing quantitative models. S/he will join a small and diverse team and report to the Head of the Market Risk and Capital Management Unit.

Main Responsibilities:

Valuation of financial instruments

• Participate in the booking of the derivatives and the hedge accounting designations
• Calculate of IFRS valuation adjustments and reserves (CVA, DVA, etc.)
• Analyse the financial impacts related to the valuation of instruments recorded at fair value
• Support and enhance the IFRS 9 credit impairment and provisioning framework

Assessment of market and liquidity risks

• Participate in the definition of market and liquidity risk appetite; calculate market and liquidity risk indicators; prepare monthly reports
• Support and enhance counterparty risk measures (potential future exposure (PFE), effective expected positive exposure (EEPE), standard approach to counterparty credit risk (SA-CCR))

Capital adequacy assessment

• Calculate capital adequacy ratios of CEB Prudential Framework and rating agencies
• Calculate the economic capital for credit and market risk using an internal approach
• Participate in the operational implementation and the calibration of the economic capital model by improving the data collection and the reliability of input data
• Compare model results with empirical evidence and/or benchmark model results

Description (continued)

• Conduct model methodology redesign and improvement exercises in accordance with best practices, regulatory guidelines, and rating agency methodologies
• Maintain, document, and test the algorithmic code of the model
• Prepare monthly reports

Stress testing

• Define and conduct economic capital stress test exercises based on the projection of macroeconomic and financial parameters
• Monitor capital ratios under stress to ensure that the CEB has adequate capital under stressed conditions

Profile

Academic background:

• Master’s degree, or equivalent, in a quantitative field such as mathematics, physics, engineering, computer science, statistics, economics, or related field.

Professional background:

• Minimum 1-3 years’ experience in a quantitative finance environment, gained in a financial institution, consulting firm, or multilateral development bank, with relevant experience in quantitative model validation or development.
• Strong knowledge of probability theory, mathematical finance, statistics, econometrics, and numerical methods.
• Advanced programming skills in R or other languages (C++/C#, Python, MATLAB, etc) with implementation experience in analytical library development.
• Knowledge of the finance industry, particularly modelling related to financial instruments’ valuation and capital risk assessment.

Language skills:

• Excellent written and oral command of English (one of the Bank’s two official languages) and knowledge of French (the other official language), with a commitment to reach a good working level.
• Knowledge of one or more other Member country language(s) is an advantage.

Core competencies:

• Adaptability
• Client Orientation
• Communication
• Innovation
• Result Orientation
• Team Work

Nationality:

Citizen of one of the Bank’s Member States: Albania, Andorra, Belgium, Bosnia and Herzegovina, Bulgaria, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Georgia, Germany, Greece, Hungary, Holy See, Iceland, Ireland, Italy, Kosovo, Latvia, Liechtenstein, Lithuania, Luxembourg, Malta, Republic of Moldova, Montenegro, Netherlands, North Macedonia, Norway, Poland, Portugal, Romania, San Marino, Serbia, Slovak Republic, Slovenia, Spain, Sweden, Switzerland, Türkiye.

Job location: France

Location: 55, avenue Kléber 75116 Paris

Applicant criteria

Employment Conditions

1) The CEB offers an initial 4-year appointment (including one-year probationary period) with, under certain conditions, the possibility of renewal.

2) Grade and salary:

• A1
• Depending on level of experience, monthly salary range starts at EUR 5 610 plus allowances based on eligibility, exempt of French income tax.
• Appointment may be made at a lower grade, based on the qualifications and professional experience of the selected applicant.
• Grades are established without any discrimination (including gender discrimination).

For more information, please consult the CEB Basic Salary Scale in section 5. Benefits of the CEB website.

As an international organisation, CEB remuneration is exempt of income tax in France. In addition, our offer includes allowances* and medical and personal insurance.

* Benefits determined by personal situation:

• Basic family allowance
• Expatriation
• Dependent child supplement
• Additional dependent child supplement for a single-parent family
• Supplement for a disabled and dependent parent
• Supplements for a disabled or severely disabled child
• Education allowance (children) for expatriate staff members
• Installation allowance and reimbursement of travel and removal expenses

Recruitment Conditions

The CEB welcomes the applications of all qualified candidates who are nationals of CEB Member States (https://coebank.org/en/about/member-countries/).

The CEB is committed to workplace gender equality and strives to ensure the recruitment of suitably qualified and experienced staff without regard to their gender, as well as their age, racial or ethnic origin, religion or beliefs, sexual orientation/identity, or disability.

The CEB has obtained the EDGE gender equality certification and is strongly committed to increase its share of female senior staff members. Hence, qualified female candidates are strongly encouraged to apply.

In order to minimise bias, our selection processes include steps such as digitally recorded interviews, written tests and interactive interviews. Please note that initial steps in the selection process will typically be conducted online (remotely).

Applications from CEB Member States candidates should be made in English or French using the Bank's online application system at https://ceb.profils.org before midnight Paris time on 23 April 2023.

Apply at: https://ceb.profils.org/job/job-junior-quantitative-analyst-capital-risk-management_257.aspx