Senior Market Risk Specialist

4 semanas atrás

Porto, Porto, Portugal Natixis In Portugal Tempo inteiro

Job Title: Senior Market Risk Specialist

Company Overview: Natixis in Portugal is a leading financial institution committed to innovation and agility. Our Risk Division plays a crucial role in ensuring the stability and growth of our business.

Job Summary: We are seeking a highly skilled Senior Market Risk Specialist to join our Market Risk team in the US. As a key member of our team, you will be responsible for monitoring and analyzing market risk metrics and performance indicators.

Key Responsibilities:

  • Producing and reporting of quantitative risk indicators such as sensitivities, specific stress-tests, global stress-tests, reverse stress-tests, VaR, sVaR,...
  • Consolidating risk indicators for risk mandate production.
  • 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 scope of action.
  • Reporting of the economic P&L to the relevant departments and stakeholders within Natixis.
  • 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/Monthly P&Ls variations.
  • 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.
  • 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.

Requirements:

  • Master's degree on Finance, Economics, Engineering, or Mathematics.
  • +3 years of exposure to one of the asset classes (FI and/or Equity and/or Credit and/or FX).
  • +3 years experience dealing with derivatives products.
  • Advanced knowledge of SQL, Excel, VBA and basic knowledge of Python.
  • Fluent English (mandatory) and a good level of French (will be a plus).
  • Good and structured communication (oral / written).
  • Assertiveness, team player.
  • Capacity to work under stress.
  • Proactiveness and initiative taker.

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 fulfillment, innovation and performance.

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