Market Risk Monitoring Analyst

3 semanas atrás

Porto, Portugal Natixis in Portugal Tempo inteiro

Company Description

Natixis in Portugal is fully integrated in the global organization of Natixis, a French multinational financial services firm specialized in Asset & Wealth Management, Corporate & Investment Banking, Insurance and Payments. A subsidiary of Groupe BPCE, Natixis counts nearly 16.000 employees across 38 countries.

Based in Porto, Natixis Centre of Expertise mission is to transform traditional banking by developing innovative solutions for the bank’s business, operations and work culture worldwide, as 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.

Natixis in Portugal is the best combination of a “start-up mindset” with a large, solid structure. Its unique culture gives true meaning to a “beyond banking” personality: to be a real entrepreneur, self-challenging, ever striving to excel and go that extra mile.

**Job Description**:
**Team presentation and main goal**:
Market Risk is part of Natixis Risk Division.

Market Risk mandates cover Valuation, Risks and Economic performance for the capital market activities of Natixis on all its business lines (mainly Fixed Income, Equity, FX, Credit, Commodities).

Within Market Risk, Risk Monitoring of traded Risk has the mandate to control, certify, analyze, and report the market risk metrics and performance indicators.

**Main tasks and goals**

As a Monitoring of Traded Risk Analyst, you will be sharing responsibilities on the following topics:

- Producing and reporting of quantitative Risk indicators such as sensitivities, Specific Stress-Tests, Global Stress-Tests, Reverse Stress-Tests, VaR, sVaR, IRC, daily
- Consolidating Risk indicators for Risk Mandate production, daily
- Controlling, analysing, and certifying all the indicators mentioned above focusing on daily variations as well as intraday moves in respect of the corresponding set of limits
- Producing of P&Ls such as economic P&L, actual P&L, hypothetical P&L, P&L Explain, Risk Theoretical P&L, Accrued
- Producing and controlling the Client Contribution on MARPL’ scope of action
- Reporting of the economic P&L to the relevant departments and stakeholders within Natixis and BPCE
- Certifying the daily economic P&L and ensure its audit trail, certifying the actual, hypothetical and risk theoretical daily P&Ls, analyzing and explaining the daily/weekly P&Ls variations
- Producing and analysis of RIM and RIM Back Testing components
- Consolidating Risk Reports sent by international branches (NY, UK, APAC) and advising them when necessary
- Computing the market risk reserves and reporting their variation and level, monthly
- Computing on a quarterly basis the Prudent Value Adjustment on Market Price Uncertainty, Close-Out-Costs, Some Model Risk Components such as Mean Reversion, Unearned Credit Spreads and Investing and Funding Costs
- Producing, control the SRAB and Volcker indicators under MARPL’s responsibility
- Analysis and controlling limit consumptions, KPIs on Volcker, Data Quality,
- Producing dashboards for Senior Management (to be validated by the P&O team) on a daily, weekly and monthly basis;
- Consolidating all Risk Reports on Natixis and consolidated desks levels on a daily, weekly and monthly basis;
- Preparing the relevant portion of support document for the Market Risk Committees;
- Production of VaR Back testing components and exception reporting
- Communicating with BLs and RM in case of limits breaches and loss alerts
- Maintaining up to date referential mapping (e.g. Homologated books / non-homologated books);
- Consistency checks between day to day processes and the controls/referential
- Producing Regulatory Risk reports (ACPR, JST, ) on a quarterly basis

**Qualifications**:

- Master’s degree on Finance / Economics / Engineering / Mathematics
- +3 years experience dealing with derivatives products
- +3 years exposure to one of the asset classes (FI and /or Equity and/or Credit and/or FX)
- Advanced knowledge of SQL; Excel, and VBA (mandatory)
- Advanced knowledge of Python (preferred)
- ** Fluent English (mandatory)**; Good level of French (preferred)
- Good and structured communication (oral / written)
- Assertiveness; Be a team player; Work under stress; Initiative tak

**We will only consider English Cv's.**

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 vi

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