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Counterparty Risk Backtesting/Model Performance Analyst

3 meses atrás

Lisboa, Portugal Tn Portugal Tempo inteiro

col-wideJob Description:

Job Description
Counterparty Risk Backtesting/ Model Performance Analyst
Location: Porto or Lisbon
Job description:
To identify lack of model performance using statistics defined in the back-testing methodology.
To analyse and document the results, deep dive analyses are performed, built on good understanding of the risk models and strong cooperation with risk modelling and risk management teams.
To communicate results to the regulator and relevant internal teams such as model validation team and capital team.
The candidate will be responsible for a set of model performance processes. She or he will coordinate with all the relevant teams to present on a periodic basis to RISK senior management a consolidated view of the bank's model performance.
Main Tasks:
run, analyse, explain and present the key take-aways related to various CCR Backtesting reports, used for both risk management and regulatory purpose
contribute to the continuous improvement of the CCR Backtesting framework linked to both BAU requirements and strategic initiatives (scope extension, data rationalisation and feed optimisation, performance improvements, enhanced analysis tools...)
Technical Skills:
Good understanding of counterparty risks
Good understanding of backetsting techniques
Python (nice to have, but not a blocker)