Mi Quantitative Models Analyst

Há 1 mês


Lisboa, Portugal Phiture Tempo inteiro

About The Job
The Market Infrastructures (MI) Quantitative Models Analyst's main mission is to act as a center of quantitative expertise regarding market infrastructure entities, conducting annual and interim reviews of margin call algorithms and their risk management mechanisms while leading the periodic quantitative due diligence on the entity in own portfolio.
Your Main Activities Are
Quantitative assessment: Monitor and control the risk facing margin algorithms put in place by market infrastructure entities, considering among others the use, hypotheses, suitability, calibration and performance.
Understand the risk drivers of the margin models and their interactions with the portfolios and market parameters.
Analyze the inherent model risk by parallel building the model when information available permits it, quantifying errors and their significance.
Maintain a continuous and sound dialogue with the Credit Officers.

Quantitative opinion contribution: Provide a timely quantitative assessment on the robustness of the margin models to help the Credit Officers (CO) form a holistic opinion regarding the market infrastructure entity.
Present the quantitative assessment at the relevant credit committees deciding on the market infrastructure entity in own portfolio.

Risk monitoring: Monitor the portfolio of counterparties under own responsibility, jointly with CO, and detecting any quantitative issues that may require a specific review.
Drive the necessary changes to work towards a more robust risk management platform in the market.

Profile And Skills To Success
Master's degree in Mathematics and Statistics, Engineering, Manufacturing and Construction or any related fields.
Up to 2 years of experience in Data Analytics or Risk and Controls.
Great communication skills with fluency in English both oral and written.
Knowledge of Python.
Critical thinking with the ability to develop and adapt a process.
Analytical ability with an innovative problem-solving approach.
Why joining BNP Paribas?
Leading banking institution.
BNP Paribas is the European Union's leading bank, and key player in international banking. It operates in 63 countries and has nearly 183,000 employees, including more than 146,000 in Europe.
Our presence in Portugal: In Portugal since 1985, BNP Paribas today has more than 8,700 employees, distributed across the Group's 10 business entities established in the country.
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.
Diversity and Inclusion commitment: BNP Paribas is an equal opportunity employer committed to ensuring that no individual is discriminated against on any grounds.
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.
Remote Working Conditions: At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration.
To find out more on why you should join BNP Paribas visit this link .
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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