Quantitative Models Analyst
3 semanas atrás
The Market Infrastructures Quantitative Models Analyst will be responsible for acting as a center of quantitative expertise regarding market infrastructure entities. This involves conducting annual and interim reviews of margin call algorithms and their risk management mechanisms, as well as leading periodic quantitative due diligence on the entity in own portfolio.
Main Activities
- Quantitative Assessment: Monitor and control the risk facing margin algorithms put in place by market infrastructure entities, considering factors such as use, hypotheses, suitability, calibration, and performance.
- Understand Risk Drivers: Analyze the risk drivers of the margin models and their interactions with the portfolios and market parameters.
- Analyze Model Risk: Maintain a continuous and sound dialogue with the Credit Officers and analyze the inherent model risk by parallel building the model when information available permits it, quantifying errors and their significance.
Key Responsibilities
- Provide a timely quantitative assessment on the robustness of the margin models to help the Credit Officers form a holistic opinion regarding the market infrastructure entity.
- Present the quantitative assessment at the relevant credit committees deciding on the market infrastructure entity in own portfolio.
- Monitor the portfolio of counterparties under own responsibility, jointly with CO, and detecting any quantitative issues that may require a specific review.
Requirements
- Master's degree in Mathematics and Statistics, Engineering, Manufacturing and Construction or any related fields.
- Up to 2 years of experience in Data Analytics or Risk and Controls.
- Great communication skills with fluency in English both oral and written.
- Knowledge of Python.
- Critical thinking with the ability to develop and adapt a process.
- Analytical ability with an innovative problem-solving approach.
Why Join Us?
- BNP Paribas is the European Union's leading bank, and key player in international banking.
- We operate in 63 countries and have nearly 183,000 employees, including more than 146,000 in Europe.
- We are an equal opportunity employer and proud to provide equal employment opportunity to all job seekers.
- Our presence in Portugal is a key part of our international strategy, and we have a strong commitment to diversity and inclusion.
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