Risk Framework Econometrics Analyst

3 semanas atrás

Porto, Portugal Natixis in Portugal Tempo inteiro

Company Description

Natixis is a French multinational financial services firm specialized in asset & wealth management, corporate & investment banking, insurance and payments. A subsidiary of Groupe BPCE, the second-largest banking group in France through its two retail banking networks, Banque Populaire and Caisse d’Epargne, Natixis counts nearly 16,000 employees across 38 countries.

As Natixis Innovation Hub, Natixis in Portugal mission is to transform traditional banking by developing innovative solutions for the bank’s business, operations and work culture, being a key driver of the company’s culture of agility and innovation. Teams of IT and Banking Support Activities work in an integrated, inclusive and transversal way, supporting all the business lines and country platforms.

**Job Description**:
Market Risk is part of Natixis Risk Division. Market Risk mandates cover Valuation, Risks and Economic performance for the capital market activities of Natixis. Within Market Risk, Econometrics is in charge of providing econometrics (market data spot and projection over various time horizon according to risk methodologies) to all Risk systems and tools, including:

- Market risk measurement tools: VaR, stressed VaR, IRC;
- Counterparty risk measurement tools: CVA, EEPE, etc.

The analyst will be in charge of producing econometrics data, which consists in updating and evolving the risk factors used. Will also be in charge of improving risk measures quality by putting in place data quality indicators (anomaly detection, statistical estimates, etc.) and completing and correcting market data historical series.

**Main tasks and goals**:
The analyst will intervene on risk factors and market data across all asset classes (rates, credit, treasury, fx, equity, commodities), as well asl actively participate in all duties of econometry teams, in particular:

- Market data and sourcing processes quality monitoring;
- Review and completion of market data historical series used to calibrate risk factors used in existing risk measures VaR, IRC, sVaR, etc.;
- Review and completion of market data historical series used to calibrate risk factors used in new risk measures, in particular as part of FRTB project (VaR, ES, etc.);
- Reinforcement of risk measures secured delivery and quality He/She will work in close collaboration with multiples departments within and outside the Risk Division;
- Working closely with other Market Risk teams (market data certification team and market risk analyst teams in charge of risk indicators certification);
- Connect with Front-Office with regards to risk axis modelling as well as with Risk IT teams with regards to econometric data monitoring and analysis tools development projects;
- Align with the teams in charge of the methodology definition.

**Qualifications**:

- Master’s in finance, Engineering, Mathematics / Statistics;
- Fluent English;
- Mandatory Experience (1-3 Years) in: Econometrics / statistics;
- Mandatory Experience (+3 Years) in Market Finance and/or Market Risk;
- Familiar with at least one of the segments from; Equity, Credit, Rate, Commodities, FX;
- Experience in Derivatives product valuation techniques; Gauss statistics and variance analysis methods ; R / VB code languages in statistical analysis context;
- Knowledge of Linux / Windows systems environment (**plus**);
- High Autonomy;
- Excellent relationship and client service skills.

Additional Information

Early morning. Campo 24 de Agosto. In 4 minutes, you are clocking in at the office. After grabbing a cup of coffee and fresh fruit, pick up your laptop and choose your spot for the day. It's going to be a busy one: French class before lunch and, just after, quick medical appointment at Natixis doctor's office. Lunch break. Outside in the big terrace (look at your crops at the Urban Garden; ready to harvest) or, if you feel like stretching your legs, walk downtown to grab lunch.

Back inside. Quick sprint review (working together anywhere means virtual happy birthday to that colleague in Paris that just turned 35). The afternoon went flying (tasks, reports, calls, some jokes with your teammates). End it on a high note: just one PlayStation game or the final match for that ping-pong tournament.

Tomorrow, you complete that certified technical training and the day after, you will work from home, taking advantage to finally do that online course on Udemy. Once you are done with your tasks for the day, you can visit the office for a board games session or show up at the rehearsal of one of Natixis bands. If that is too steady for you, meet your colleagues to surf some waves or join them in a football match.

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