RISK Analyst – Porto or Lisbon

June 26, 2024

RISK Analyst – Porto or Lisbon


  • Permanent
  • PT-Porto
  • RISK
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About the job

The role is focused in the Counterparty Risk Pillar, with the key responsibilities being:

  • Monitor and review counterparty risk metrics and frameworks, notably regarding collateral envelopes and eligibility, Wrong Way Risk, Bilateral Initial Margin, counterparty risk sensitivities and stress test reports.
  • Perform standard counterparty portfolio analysis in preparation of credit annual reviews
  • Analyse & monitor Economic and Regulatory Measures – including Stress Testing – linked to Counterparty Credit Risk on the global scope of counterparties
  • Set up Controls around Data quality issues detection and propose initiatives for their remediation
  • Propose systems enhancements for counterparty risk monitoring: Work with IT teams on projects to digitalize and improve counterparty risk production and explain

Your Main Activities Are

  • Contribute to the risk management tasks of the team, such as supporting Business and Credit officers on limits and envelopes monitoring, reporting to RISK senior management, stress testing, counterparty risk analysis, etc. 
  • Monitoring of counterparty risk exposures on different perimeters (OTC, Clearing, Prime Brokerage … ) and through different metrics (Stress tests, VaR, Greeks, Margins.. ) by:
  • Production of regular risk monitoring reports and contribute to counterparty risk forums
  • Understanding the origin of the exposures
  • Understanding of the different calculation mechanisms
  • Implementing and monitoring relevant stress-tests on a regular and ad-hoc basis,
  • Monitoring of market risk sensitivities by counterparty,
  • Interacting regularly within business and Credit teams to share information
  • Play an active role in innovative and transformative actions undertaken in RISK Market and Financial Institutions. This includes a close collaboration with other teams to continue industrialization and enhancements of existing tools and processes.
  • Contribute to ad-hoc projects, such as ad-hoc stress testing or investigating the impact of new regulation for the bank.
  • Continuously challenge existing practices when better solutions might be available. This includes
    • Risk Systems processes or counterparty risks methodologies assumptions or implementations.
    • Adequacy of the scenarios and risk metrics chosen for counterparty risk

Profile and Skills to Success

  • Bachelor’s (3-5 years) in Applied mathematics, data science or Finance
  • Knowledge of derivatives instruments and associated risk drivers 
  • Ability to react quickly but precisely in high pressure trading situations with Front Office interactions, requiring a structured approach and resourcefulness.
  • Understanding of credit risk metrics (Exposure at Default, PD, etc.) and exposure metrics (Stress Tests, Value at Risk).
  • Strong communication skills, both written and verbal.
  • Steady personality, well organized and analytical approach.
  • Solid technical skills, aside from Microsoft Office (with VBA) also experience in the use of a programming language such as Python or R. SQL is a plus


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