Quantitative Research Analyst
6 meses atrás
**Key Words**: engineering, mathematics, quantitative research, quants, programming, computer science, optimization, finance, modelling, models, pricing, risk management, resources, margin, balance sheet, collateral, derivatives, XVA, regulatory, financing, stochastic calculus
**About the job**
The XVA, Regulatory, and Financing Research team is in charge of the correct and homogeneous pricing and risk management of Value adjustment (CVA, DVA, Wrong way risk, FVA, ColVA, KVA, IMVA), the correct and homogeneous evaluation and reporting of regulatory impacts (Leverage Cost, Liquidity Cost, Counterparty Risk Capital) and the correct and homogeneous evaluation and reporting of Margin for uncleared Derivatives. It computes the exposure of the bank to its counterparties for all future dates and in multiple scenario and also provides business with tools to understand, optimize and report to Finance Group, and the usage of its balance sheet, collateral balance, and cash flow ladder, at Global Market level.
The role will be in Lisbon, Portugal, working within a team of finance professionals supporting BNPP Global Market activities globally.
A training in London may be provided at the beginning of the role in order to become familiar with the setup and to build relationships with other team members.
**Your Main Activities Are**
- Respond in a timely manner to help with various production issues
- Participate on new developments from XVA Trading teams. These requests are mainly around improving the XVA PNL explain accuracy, trade pricing accuracy, model improvements
- Participate on new developments from projects around leverage ratio, GSIB and other regulatory metrics
- Improvements and corrections to the computations when issues are identified and adapt the calculations to the evolving regulation
**Profile and Skills to Success**
- Qualifications: Masters or PhD degree in Mathematics, Statistics, Finance, Physics or Engineering
- Good understanding of Computer Science: algorithms, complexity, etc
- Be pro-active, enthusiastic and able to work well in a team
- Fluency in English
- Knowledge of one class of financial instruments: Equity, FX, Interest Rates, Credit or OTC derivatives
- Knowledge of key concepts in financial mathematics and stochastic calculus
- Experience of a compiled language (ideally C#) and Python
**About the Team**
Global Markets Quantitative Research and Engineering (GMQRE) is a highly motivated team of financial engineers and computer scientists based in Lisbon and Porto, researching and performing quantitative engineering on diverse cross asset topics in equity, interest rates, credit, FX and XVA.
We work on innovative financial models, contribute to pricing libraries, maintain and implement the architecture of closely-knit systems driving the booking and valuation framework of the bank.
Along with the data engineers of Global Client Analytics (GCA) and the GM Data and Artificial Intelligence Lab, we are 50 high caliber engineers part of the Global Markets Front Office and we collaborate closely with Trading, Sales, Risk and IT across Asia, Europe and Americas on daily basis.
***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
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