JOB DESCRIPTION

The European Banking Authority (EBA) is looking for establishing a talent pool for the position of Market Risk Expert

WHAT IS THE EBA?

The EBA is an independent European Union Authority established on 1 January 2011 by Regulation (EU) No. 1093/2010 of the European Parliament and of the Council of 24 November 2010^[2].

EBA’s mission is to contribute to the stability and effectiveness of the European financial system through simple, consistent, transparent, fair regulation and supervision that benefits all EU citizens.

EBA’s five strategic objectives are: to finalise and implement an effective and proportionate Single Rulebook, to foster financial stability in an economy transitioning towards sustainability, to enable an integrated reporting system for enhanced assessment and disclosure, to implement the Digital Finances package with DORA oversight and MiCAR supervision, and to focus on innovation for the benefit of consumers while ensuring a smooth transition of the anti-money laundering.

As an integral part of the European System of Financial Supervision (ESFS), the EBA works closely together with its sister authorities within the European Supervisory Authorities (ESAs), namely the European Insurance and Occupational Pension Authority (EIOPA), and the European Securities and Markets Authority (ESMA), as well as the Joint Committee and the European Systemic Risk Board (ESRB).

Further information on the EBA is available on the EBA website: www.eba.europa.eu.

WHAT ARE THE JOB AND OFFER?

Key purpose

As a member of the Prudential Regulation and Supervisory Policy (PRSP) Department, the Market Risk Expert reports to the Head of the Risk-Based Metrics Unit (RBM). The Expert contributes either to the EBA’s policy work on market risk, including counterparty credit risk, market infrastructures or to the EBA’s validation/supervision work of pro forma initial margin models under EMIR.

The Market Risk Expert also contributes to other works of the Prudential Regulation and Supervisory Policy Department with particular reference to the areas covered by the Risk-Based Metrics Unit, including the areas of credit and operational risk, investments and securitisation.

Main responsibilities

• Contribute to and coordinate aspects of the EBA’s work on market risk, including counterparty credit risk, market infrastructures and/or the validation of pro forma initial margin models under EMIR;
• Provide analytical support to the design of methods, tests and metrics for the assessment of the standardised approach and internal model approach under the Fundamental Review of the Trading Book and/or the validation of pro forma initial margin models under EMIR, as well as to the organisation of data collections;
• Ensure effective coordination and cooperation with EU and national authorities, with the aim of developing common views;
• Provide support to internal committees and subgroups and their chairpersons;
• Participate/represent the EBA at external events on a technical level by providing specific expertise;
• Support and contribute to the other activities of the Prudential Regulation and Supervisory Policy Department and the Risk-Based Metrics Unit.

Working environment

You will be part of a multicultural and multidisciplinary team of high-level professionals with the opportunity to positively impact on the regulatory framework for financial institutions in the EU.

You will live through the EBA Values.

You will have the opportunity to change perspectives, to expand your network engaging with a wide range of stakeholders across Europe and beyond and to develop your career as well as new competencies.

You will join the EBA at an exciting time as the Authority expanded its mandate with the implementation of the European Markets in Crypto-Assets Regulation (MiCAR) and the EU Digital Operational Resilience Act (DORA).

You will be administratively employed and based in the EBA being located at 20 Avenue Andre Prothin, 92400, Courbevoie, France (Floors 24 to 27 of the EUROPLAZA tower), in “La Defense” area, the largest business district in Europe and the fourth largest in the world.

The French capital is one of the most inspiring cities in Europe. A walkable and well-connected city with close proximity to other countries in Europe, Paris offers a vivid cultural and culinary experience with its abundance of museums, architectural richness, sparkling monuments such as the Eiffel Tower, top designer shops, and beautiful parks.

Your contract will be for a duration of three (3) years and can be extended for additional three (3) years. Any further extension would be indefinite.

You will be recruited as Temporary agent in grade administrator (AD) 5 with basic salary subject to an annual update of remuneration.

For more information regarding salary, additional benefits, work-life balance, schooling facilities, please consult the Annex of this vacancy notice.

WHAT ARE THE SELECTION REQUIREMENTS?

Applications will be assessed based on the Eligibility and Selection criteria specified in this vacancy notice. Eligibility criteria

To be considered eligible, candidates must satisfy all the criteria listed below by the deadline for submitting applications:

General

• Be a national of a Member State of the European Union³ or Iceland, Liechtenstein, Norway, and enjoy your full rights as a citizen⁴;
• Have fulfilled any obligation imposed on you by the laws concerning military service;
• Have the appropriate character references as to your suitability for the performance of your duties;
• Be physically fit to perform the duties linked to the post⁵;
• Have a thorough knowledge⁶ of English⁷ and a satisfactory knowledge⁸ of another official language^{9 10} of the European Union.

Qualifications¹¹‘¹²

Candidates must have a level of education which corresponds to completed university studies of at least three years attested by a diploma.

Selection criteria

In addition to the eligibility criteria above, the following selection criteria will be assessed throughout the different phases of the selection procedure. Candidates are required to clearly indicate in their application how they acquired the knowledge and experience allowing them to meet the selection criteria and to give specific examples.

Essential criteria:

• At least a Master’s degree in a relevant field, such as quantitative economics, financial mathematics, quantitative finance, financial engineering, and/or actuarial sciences;
• Knowledge and/or experience in EU banking regulation (e.g. CRR) and/or supervision and/or research in a relevant field, preferably in topics related to market risk, including work related to the Fundamental Review of the Trading Book and OTC (over-the-counter) derivatives;
• Knowledge and/or experience in one or more of the following areas: valuation of financial instruments, quantification/modelling of market risks, developing or supervising market risk internal models;
• Experience in drafting reports and/or policies – please give specific examples of the documents you have drafted in your application.

Advantageous criteria:

• Knowledge and/or experience in the analysis of data, such as supervisory reporting or financial time series data, using statistical software such as SAS, Python or R – please give specific examples in your application;
• Experience in a European, international and/or multicultural working environment.

Behavioural competencies:

• Drive for results with flexibility to take on new tasks in a dynamic and fast-paced working environment;
• Draw on analysis and aim to problem solving;
• Apply skills creatively and foster innovative solutions;
• Communicate clearly and precisely both orally and writing;
• Act in line with EU high-standard professional values (such as ethics and integrity, respect, open collaboration, etc).