
According to data from 2018, the highest risk was observed in Romania (15.3%), followed by Luxembourg (13.5%), and Spain (12.9%). The EU average was 9.5%. At the opposite end of the spectrum we find Finland (3.1%), Czechia (3.4%), and Ireland (4.9%).
The in-work risk of poverty has increased in the EU as a whole between 2008 (8.6%) and 2018 (9.5%) - a 10.4% increase. The risk in Luxembourg, meanwhile, increased by 43.6% - from 9.4% in 2008, to 13.5% in 2018.
EU-wide data doesn't go back further than this, but Eurostat do have data going back to 2003 for Luxembourg. Looking that far back, the increase in risk is yet more dramatic for Luxembourg - in these fifteen years, the risk increased by 90.1%.
This means that the risk of being in-work poor nearly doubled in the Grand Duchy over just 15 years.

Eurostat: 1 in 10 employed persons at risk of poverty in 2018
Luxembourg's working young at second highest risk of poverty in the EU