Quantitative Risk Modeling Specialist

Há 7 dias


Lisboa, Lisboa, Portugal Phiture Tempo inteiro
About the Role
Risk Market & Financial Institutions (MFI) provides transparent and dynamic analysis and monitoring of market, counterparty, liquidity risks within Corporate & Institutional Banking. This includes reviewing valuation models for official daily P&L and risks.
As a Valuation Model Risk Team member, you will be responsible for independent review and control of these models. Your tasks include challenging hypotheses, verifying mathematics, and reviewing input data and calibration. You will also develop tools to monitor model performance and provide quantitative analysis to help define and assess risk management frameworks.
Main Activities:
  • Review and approval of Valuation Models, considering suitability, use, and set-up
  • Challenging hypotheses, verifying mathematics, and reviewing input data and calibration
  • Maintaining model parameters controls in term of levels and the surrounding control framework
  • Providing quantitative analysis to help in the definition and assessment of risk management frameworks


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