Financial Risk Management Officer – Derivatives Counterparty Credit (m|f|x) Luxembourg

This position is based at our Luxembourg headquarters and requires regular on-site presence. The EIB offers you the opportunity to live and work in a truly international and multicultural environment. We also offer relocation support.

The EIB, the European Union’s bank, is seeking to recruit for its 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.

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 responsible for managing the credit risk of derivatives transactions. Its tasks include:

• setting minimum conditions and risk limits for derivatives counterparties,
• specifying and monitoring counterparty risk measurement calculations,
• reporting and monitoring compliance with limits on counterparty credit risk exposures,
• contributing to exposure reduction in the event of limit breaches or low limit availability,
• monitoring collateral management activities,
• negotiating ISDA/CSA agreements in collaboration with the Front Office,
• calculating liquidity and funding stress scenarios and internal risk charges,
• performing credit risk stress tests related to derivatives.

Tasks

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.
• 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, utilization oversight, stress considerations, and escalation processes,
• Deliver high-level risk analysis and authoritative reporting to senior management and risk committees on counterparty exposures, limit utilization, counterparty capacity, and the 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 assessments of complex transactions, novations, and changes to ISDA/CSA documentation, evaluating their impacts on fair value, XVAs, internal charges, and Potential Future Exposure, and advising decision-makers accordingly.
  

Serve 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.

Profile / Your qualification / Your personality

• University degree (minimum equivalent to a bachelor’s degree), preferably in mathematics, engineering, physics, computer science, finance, or economics, with a focus on quantitative finance (stochastic calculus). Graduate studies and PRMIA or GARP certifications are a plus.
• At least 5 years of professional experience gained at a major derivatives dealer or user, with extensive involvement in derivatives counterparty credit risk management.
• Very good knowledge of counterparty risk quantification, including calculations of Potential Future Exposure and capital charges.
• Very strong programming background in a structured language (C, C++, C#, Python, etc.), with a preference for object-oriented programming languages.
• Good knowledge of BCBS regulations, EBA standards, and best banking practices 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).

Application

Panel interviews are scheduled to begin in August 2026.

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Location

98-100 Boulevard Konrad Adenauer, LU-2950 Luxembourg