Risk Quantitative Research Analyst
3 semanas atrás
**About the job**
- The mission of the RISK Quantitative Research Analyst is to develop and continually improve the group’s risk modelling & measurement, analysis and back-testing capabilities, on market and counterparty risks
- SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas
- The team sits within Global Framework (GF), which is part of the Risk Function of the group. The Risk Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. At BNP Paribas, a well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation
- Within GF, SIGMA’s mission is to develop and continually improve the group’s risk modelling & measurement analysis and back-testing capabilities. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), as well as a quantitative development stream
- The team’s remit includes internal risk models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space
**Your Main Activities Are**
- Participate in methodology projects, gathering and documenting requirements
- Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks
- Design, develop and test code changes required to implement the risk methods in the risk systems
- Ensure that all methodologies, tools, processes and procedures are documented
- Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain)
- Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS)
- In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals
- Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting
**Profile** and Skills to Success**
- Masters Degree in Mathematics / Physics / Quantitative Finance or related
- Advanced level of English, both written and oral
- Knowledge in- Market Risk and/or Counterparty Risk Modelling capacity- Derivatives: their Risk drivers and the models used to price them- At least one of the following: Credit / Repo / IR/FX / Equity / Commodities- Design and Implementation of Quantitative Models (preferably using C# and/or C++)- Attention to detail / rigor
- Ability to collaborate / teamwork
- Analytical ability
- Communication skills, both written and oral
- Organisational skills
LI-Hybrid
**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. Its presence also extends to 11 excellence centres providing value-added services to various countries where the BNP Paribas Group also operates.
- ** 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 modaliti
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