Financial Risk Management Officer – Derivatives Counterparty Credit

About the role

The European Investment Bank is looking for a Financial Risk Management Officer to join its Derivatives Counterparty Credit Risk Unit in Luxembourg. You will provide independent oversight and reporting of counterparty credit risk linked to derivative transactions, ensuring robust measurement, transparent reporting and alignment with the Bank’s risk policies.

Key responsibilities

• Define and continuously enhance the counterparty credit risk framework for derivatives, covering Expected Exposure (EE), Potential Future Exposure (PFE) and regulatory metrics.
• Provide strategic direction and governance over XVA methodologies, overseeing model design, performance and alignment with the Bank’s risk appetite.
• Own the counterparty credit risk limits framework, including calibration, utilisation oversight, stress considerations and escalation processes.
• Deliver high‑level risk analysis and reporting to senior management and risk committees on exposures, limit consumption and new transaction implications.
• Oversee model performance monitoring, back‑testing and control frameworks, driving remediation and ensuring robust model risk governance.

Required profile

• Strong background in counterparty credit risk for derivatives and quantitative risk analysis.
• Experience with XVA methodologies, stress testing and limit management.
• Ability to work closely with Front Office, Quantitative Analysts and senior risk leaders.

Required skills

• Counterparty credit risk modeling
• XVA methodologies (credit, funding, liquidity, collateral, capital valuation adjustments)
• Expected Exposure (EE) and Potential Future Exposure (PFE) calculations
• Stress testing of credit risk models

What we offer

• Permanent contract with grade 5 level
• International, multicultural work environment
• Relocation support
• Opportunities for professional development within a leading EU institution