Market Risk Analyst
Há 1 mês
**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, analyzing, 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 of exposure to one of the asset classes (FI and /or Equity and/or Credit and/or FX)
- +3 years of experience dealing with derivatives products
- Advanced knowledge of SQL; Excel and VBA
- Knowledge of Python (preferred)
- ** English Fluency (mandatory) and a good level of French (preferred)**:
- Good and structured communication (oral / written)
- Assertiveness
- Be a team player
- Work under stress
- Initiative taker
**We will only consider English Cv's.**
**Additional Information**
At Natixis, we are committed to fostering a working environment where each and every one of our people is treated with dignity and respect and where every voice is heard. Our differences make us collectively stronger and are a source of fulfilment, innovation and performance.
**#MuchMoreThanJustAJob**
Early morning. Campo 24 de Agosto. In 4 minutes, you are clocking in at the office. Start your day having breakfast with the Team and grab fresh fruit on the way to your seat, in one of Porto’s most typical neighborhoods. This Purple Day is going to be a busy one: daily meeting ensuring all team members are on the same page regarding work status, priorities and blockers, language class and, just after, a Talent Management meeting with your manager, discussing your career path.
Lunch break. Today, your Team is onboarding newcomers, but also welcoming French colleagues: the perfect excuse to walk downtown and bond over a _francesinha_. When returning, inhale nature and peace of mind in Natixis Urban Garden (look at the crops; ready to harvest).
Back inside. Brainstorming session on a new, exciting project in our disruptive and immersive Manaus Village. The afternoon went flying (tasks, meetings, some jokes with your teammates). End it on a high note: celebrating cultural diversity with a Diwali, the Indian festival of lights.
Tomorrow, you attend a conference led by influential speakers in your industry and, the day after, you will work from home, benefitting from some focus time to complete that report and soft skills course on LinkedIn Learning. Once
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