Quantitative Backtesting Analyst

2 meses atrás

Lisboa, Portugal BNP Paribas Tempo inteiro

QUANTITATIVE BACKTESTING ANALYST (JOB NUMBER: 2303RSK14375)

By Joining RISK Portugal at BNP Paribas, you will be part of a dynamic, talented and expert team, with a global coverage. You will be able to develop your knowledge through career development plan and internal mobility. The journey starts here.

**About the team**

Within the RISK ERA Models department, the Model Performance (MP) team develops and maintains the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF); including the relevant ad-hoc criteria measuring the performance

The team carries out many other studies and participates in various transverse projects

Due to growing demands from European regulator/supervisor, the model performance team is carrying out studies that are becoming increasingly important

**About the job**
- Production of Retail and Non-retail (Corporate and local models) Back testings on PD (Probability of Default), EAD/CCF (Exposure At Default) and LGD (Loss given default) parameters: Data collection, Database construction, Back testing production, Report preparation
- Production of the Back testing ECB Templates on PD, EAD/CCF, LGD credit risk parameters
- Production of shortcuts backtesting (only on non Retail perimeter)
- Participation to transversal projects related to credit risk models performance assessment : such as Backtesting standards redaction, Industrialization of data collection tool (CRDC SAS, GRREAT, Remediation project )
- Control and validation of GRR (Global Recovery Rate) spreadsheet: Collection of information, Data quality control
- Monitoring
- Improvement of existing tools and processes: Ensure the continuous improvement of existing programs and processes, Document the work and methodologies used
- Ensure adequate documentation in line with Group Documentation Standards

**Your Main Activities Are**
- Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation
- Contribute to the production of the backtesting ECB Templates
- Contribute to the production of the backtesting Shortcuts
- Participation to transversal projects related to credit risk models performance assessment
- Control and validation of GRR (Global Recovery Rate) spreadsheet
- Improvement of existing tools and processes
- Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting

**Profile and Skills to Success**
- Master Degree in Mathematics and Statistics
- Advanced level of English, both written and oral, is mandatory
- Proficiency in Data Intelligence, Research and Quantitative analysis
- Knowledge in
- SAS, SQL and R
- Risk Management
- Skills
- Organisational skills
- Analytical ability
- Ability to develop and adapt a process
- Ability to work as a part of a team
- Ability to deliver/results driven

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 clients.
- **Diversity and Inclusion commitment**
- **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

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