Market & Counterparty Risk Capital Senior Analyst

May 14, 2024

Market & Counterparty Risk Capital Senior Analyst

Reference2405RSK18285

  • Standard / Permanent
  • PT-11-Lisbon
  • FINANCIAL AND TECHNICAL EXPERTISE
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About the job

  • The Quantitative Models Specialist is part of a team acting as center of quantitative expertise within RISK Global Markets
  • The RISK Global Markets Quantitative Team is the RISK team responsible for the second line of defense on valuation models within Global Markets. This therefore includes independent review and control of all models used for the generation of official daily P&L and risks
  • Acts as the main interlocutor of Risk Global Markets with Global Markets Quantitative Research

Your Main Activities Are

  • Review Valuation Model, considering suitability, use and set-up, implementation; challenging hypotheses, verifying mathematics and reviewing input data and calibration; comparing model to a challenger model; understanding the associated model risk and potential for model error and its significance; understanding the interaction of the model with the market, the products and the broader portfolio; documenting the review work and communicate it to stakeholders while maintaining a continuous and sound dialogue with them
  • Monitor the model performance by developing tools, defining and implementing performance metrics and making sure they are effectively integrated in the monitoring framework
  • Maintain the mapping between product and models and the associated controls
  • Ensures model parameters controls in term of levels and the surrounding control framework
  • Participate in the definition and assessment of the risk management framework for new trades, products and activities that are heavily quantitative or model dependent
  • Define, maintain and document Valuation adjustments methodologies related to model risk uncertainty and compute their impacts at the appropriate frequency
  • Propose definition and measurement of model risk at aggregate level of model, portfolio and derivatives product
  • Participate to the understanding of market risk in exotic and model dependent areas and collaborate with other teams to achieve the goals of the organization on automation, regulatory topics or risk management
  • Provide coaching support to own organization team members by offering guidance and sharing expertise while developing own colleagues expertise

Profile and Skills to Success

  • Masters Degree in Mathematics / Sciences / Economics or Engineering   
  • At least 7 years of relevant experience  
  • Advanced level of English, both written and oral
  • Knowledge in
    • It Languages (Python)
    • Market & Counterparty Risks 
    • MS Office Pack (Excel, PowerPoint)
  • Attention to detail / rigor
  • Analytical ability
  • Client focused
  • Communication skills, both written and oral
  • Proactivity

 #LI-Hybrid 

Why joining BNP Paribas?

· Leading banking institution

BNP Paribas is a leader in the Eurozone, and a prominent international banking institution with strong roots in Europe’s banking history. It has a presence in 65 countries, with around 190 000 Employees – including more than 145 000 in Europe.

· Our presence in Portugal

Since 1985, BNP Paribas was one of the first foreign banks to operate in the country. Today, the Group has around 7.100 employees across several entities operating directly in the territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

· International reach

Thanks to its international presence and regular and close collaboration among its different entities, BNP Paribas has the resources to support all clients with financing, investment, savings and protection solutions that help make their projects a success. BNP Paribas holds key positions in its three core operating divisions:

·       Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines

·       Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services.

·       Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional client.

· Diversity and Inclusion commitment

BNP Paribas is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.

· Commitment towards work/life balance

At BNP Paribas we care about our employees wellbeing and promote a culture of good integration between work and rest. We believe our employees have rich personal lives outside of work, being fundamental to be disconnected from work to recharge both physically and mentally. Only through this balance we may all be at our best while working.

· Remote Working Conditions

At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices.

To find out more on why you should join BNP Paribas visit https://bnpp.lk/why-BNP-Paribas-Portugal

* Please note that only applications submitted in English will be considered.

* In case you are selected for this role, further documentation will be requested to support your hiring process.

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