Quantitative Backtesting Specialist

4 semanas atrás

Porto, Portugal BNP Paribas Tempo inteiro

QUANTITATIVE BACKTESTING SPECIALIST (JOB NUMBER: 2404RSK18033)

**About the job**
- Support Team Leader and Supervisors on complex topics or requests addressed to the team (regulatory related topics, supervisor requests, ad-hoc requests,...).

Develop and maintain the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF), or contribute to other studies and projects within team's responsibility

**Your Main Activities Are**
- Support Team Leader and Supervisors on complex topics or requests (regulatory related topics, supervisor requests, ad-hoc requests,).
- 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 LGD 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**
- Masters in Mathematics and Statistics
- Risk and Controls ([5 - 7] years of experience)
- Ability to deliver/Results driven
- Critical thinking
- Analytical Ability
- Ability to manage a project
- Data Intelligence, Research and Quant Analytics - Applied Math and Algorithms
- Risk Management - Risk analysis
- Fluency in English

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;
- I**nvestment & 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 modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices.
- In case you are selected for this role, further documentation will be requested to support your hiring process.

**Primary Location**: PT-13-Porto

**Job Type**: Standard / Permanent

**Job**: PROJECT & TRANSFORMATION MANAGEMENT

**Education Level**: Master Degree or equivalent (> 4 years)

**Experience Level**: At least 2 years

**Schedule**: Full-time

**Entity**: PRT - Group Functions

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