Model Risk Senior Analyst – Porto or Lisbon

July 4, 2024

Model Risk Senior Analyst – Porto or Lisbon

Reference12351732

  • Permanent
  • PT-Porto
  • FINANCIAL AND TECHNICAL EXPERTISE
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About the job

  • The Model Risk Validation Analyst 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 and approval of 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
  • Regular reassessment and re-review of existing valuation models
  • Monitor the model performance by developing tools, and implementing performance metrics defined alongside senior analysts.
  • Maintain the mapping between product and models and the associated controls.
  • Ensures model parameters controls in term of levels and the surrounding control framework
  • Provides quantitative analysis to help 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 for relatively simpler models. Compute their impacts at the appropriate frequency and support senior analysts for computing impacts of VAs for more complex models
  • Propose definition and measurement of model risk at aggregate level of model, portfolio and derivatives product
  • Collaborate with other teams to achieve the goals of the organization on automation, regulatory topics or risk management

Profile and Skills to Success

  • Masters Degree in Mathematics and Statistics or related
  • Years of relevant experience      
  • Advanced level of English, both written and oral
  • Knowledge in IT Languages (Python)
  • Ability to collaborate / teamwork
  • Analytical ability
  • Ability to deliver / results driven
  • Creativity and innovation / problem solving
  • Communication skills, both written and oral

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