Senior Econometrics Analyst | Risk

Company Description

Natixis in Portugal is a Centre of Expertise whose mission is to transform traditional banking by developing innovative solutions for the business, operations, and work culture of Groupe BPCE worldwide.

As part of Groupe BPCE’s international division, Natixis in Portugal designs and delivers solutions for its two core areas – Corporate & Investment Banking and Asset & Wealth Management – as well as transversal services that support all entities across the Group.

With more than 3,000 employees representing 46 nationalities, the teams work in Information Technology, Banking Support Activities, and Compliance in an integrated, inclusive, and cross‑functional way, supporting all business lines and platforms of the Group.

A disruptive mindset and a culture of proximity and agility reflect Natixis in Portugal’s mission to transform traditional banking at a global scale, a perfect match within the Portuguese dynamics and entrepreneurial ecosystem.

Job Description

Market Risk is part of the Natixis Risk Division. Market Risk mandates cover Valuation, Risks and Economic performance for the capital market activities of Natixis.

Within Market Risk, the Econometrics team is In Charge Of Providing Econometrics (market data spot and projection over various time horizons according to risk methodologies) to all risk systems and tools, including:

- Market risk measurement tools: VaR, stressed VaR, IRC

- Counterparty risk measurement tools: CVA, EEPE, etc.

The Analyst will be responsible for producing econometrics data, which consists of updating and evolving risk factors used. They will also improve risk measures quality by:

- Establishing data quality indicators (anomaly detection, statistical estimates, etc.)

- Completing and correcting historical market data series

Main tasks and goals include:

- Intervening on risk factors and market data across all asset classes (rates, credit, treasury, FX, equity, commodities)

- Actively participating in all duties of the econometrics team, including: market data and sourcing process quality monitoring; reviewing and completing historical market data series used to calibrate risk factors for existing risk measures (VaR, IRC, sVaR, etc.) and for new risk measures as part of the FRTB project (VaR, ES, etc.); reinforcing risk measures’ secured delivery and quality

- Working closely with other Market Risk teams (market data certification team and risk indicator certification teams)

- Collaborating with front‑office regarding risk‑axis modelling and with Risk IT teams on econometric data monitoring and analysis tools development projects

- Aligning with teams in charge of methodology definition

Qualifications

- Master’s degree in Finance, Engineering, Mathematics/Statistics

- +3 years of experience in econometrics or statistics

- Familiarity with at least one of the segments: Equity, Credit, Rate, Commodities, FX

- +3 years of experience in market finance and/or market risk

- English fluency (mandatory)

- Knowledge of derivatives product valuation techniques

- Advanced knowledge of Gaussian statistics and variance analysis methods

- Advanced knowledge of R and VB coding languages in a statistical analysis context

- Knowledge of Linux/Windows system environments (a plus)

We will only consider English CVs.

Additional Information

Our workplace reflects the vibrant spirit of our locations, with initiatives such as a Green Transportation Budget, electric bikes, and a flexible hybrid work policy. We promote wellbeing through the Honolulu Wellness Club, a Prayer Room, a Lactation Room, and themed Villages that inspire creativity and collaboration. Through our ESG and DEI strategies, we are committed to being inclusive, caring, and fair, ensuring every voice is heard and valued.

Seniority Level

Mid‑Senior level

Employment Type

Full‑time

Job Function

Business Development and Sales

Industry

Banking

Location

Porto, Portugal

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