Quantitative Backtesting Analyst

Há 6 dias

Lisboa, Portugal BNP Paribas Tempo inteiro

**Mission**

Develop and maintain the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF), or contribute to other studies and projects within team's responsibility.

**RESPONSIBILITIES**:

- Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation.
- Contribute to the production of the backtesting ECB Templates.
- Contribute to the production of the backtesting Shortcuts.
- Participation in transversal projects related to credit risk models performance assessment.
- Control and validation of LGD spreadsheet.
- Improvement of existing tools and processes.
- Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting.

**REQUIREMENTS**:

- Ability to collaborate- Ability to deliver- Ability to develop and adapt- Analytical Ability- Data Intelligence, Research and Quant Analytics- Risk Management - Risk analysis- English (Fluent)- DATA VIZ BLENDING ANALYTICS SAS (Proficient)- IT PROGRAMS CONCEPTION (Proficient)- Risk and Controls ([0 - 2] years)- Masters in Mathematics and Statistics- #LI-Hybridc

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